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  • Search: subject:"Stochastic Recurrence Equation"
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Year of publication
Subject
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ARCH model 3 ARCH-Modell 3 Estimation theory 3 Schätztheorie 3 Stochastic process 3 Stochastischer Prozess 3 stochastic recurrence equation 3 Maximum likelihood estimation 2 Maximum-Likelihood-Schätzung 2 Stochastic Recurrence Equation 2 asymptotic normality 2 exponential GARCH 2 strong consistency 2 volatility models 2 CAPM 1 EGARCH 1 Ergodic theorem Contraction property 1 GARCH-in-Mean 1 Induktive Statistik 1 Invertibility 1 Invertible models 1 Log-GARCH 1 Lyapunov exponent 1 Quasi Maximum Likelihood 1 Risikoprämie 1 Risk premium 1 Semi-strong GARCH 1 Statistical inference 1 Strict stationarity 1 Subadditive sequence 1 Time series analysis 1 Zeitreihenanalyse 1 asymmetric GARCH 1 functional Garch 1 inference without moments 1 maximum likelihood 1 parametric estimation 1 quasi maximum likelihood 1 risk premium 1 stationarity 1
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Online availability
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Free 5
Type of publication
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Book / Working Paper 5
Type of publication (narrower categories)
All
Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3
Language
All
English 3 Undetermined 2
Author
All
Kandji, Baye Matar 2 Wintenberger, Olivier 2 Cai, Sixiang 1 Hafner, Christian M. 1 Kyriakopoulou, Dimitra 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2
Published in...
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MPRA Paper 2 Working paper series 2 CORE discussion papers : DP 1
Source
All
ECONIS (ZBW) 3 RePEc 2
Showing 1 - 5 of 5
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On the growth rate of superadditive processes and the stability of functional GARCH models
Kandji, Baye Matar - 2023
Persistent link: https://www.econbiz.de/10014321021
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Iterated Function Systems driven by non independent sequences : structure and inference
Kandji, Baye Matar - 2022
Persistent link: https://www.econbiz.de/10013162000
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Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.; Kyriakopoulou, Dimitra - 2019
Persistent link: https://www.econbiz.de/10012215031
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Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Wintenberger, Olivier - Volkswirtschaftliche Fakultät, … - 2013
Recurrence Equation (SRE). We prove the strong consistency of the Quasi Maximum Likelihood Estimator (QMLE) when the optimization …We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic …
Persistent link: https://www.econbiz.de/10011113070
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Parametric inference and forecasting in continuously invertible volatility models
Wintenberger, Olivier; Cai, Sixiang - Volkswirtschaftliche Fakultät, … - 2011
approach based on the Stochastic Recurrence Equation (SRE) given in Straumann (2005). Under very weak assumptions, we prove the …
Persistent link: https://www.econbiz.de/10009147705
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