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  • Search: subject:"News impact function"
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Year of publication
Subject
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ARCH model 1 ARCH-Modell 1 Bayes-Statistik 1 Bayesian inference 1 Estimation 1 Estimation theory 1 Functional coefficient 1 Heavy tail 1 Lagrange multiplier tests 1 Markov chain 1 Markov chain Monte Carlo 1 Markov-Kette 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 News impact function 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Regression analysis 1 Regression spline 1 Regressionsanalyse 1 Schätztheorie 1 Schätzung 1 Volatility 1 Volatilität 1 augmented ACD models 1 news impact function 1 semiparametric ACD models 1
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Online availability
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Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Chen, Wilson Ye 1 Gerlach, Richard H. 1 Hautsch, Nikolaus 1
Institution
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Økonomisk Institut, Københavns Universitet 1
Published in...
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FRU Working Papers 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
Hautsch, Nikolaus - Økonomisk Institut, Københavns Universitet - 2006
This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. A categorization of the durations allows us to reformulate the PH model as an ordered response model based on extreme value distributed errors....
Persistent link: https://www.econbiz.de/10005543581
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