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Year of publication
Subject
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ARCH model 3 ARCH-Modell 3 Estimation 3 Estimation theory 3 Schätztheorie 3 Schätzung 3 Time series analysis 3 VAR model 3 VAR-Modell 3 Volatility 3 Volatilität 3 Zeitreihenanalyse 3 causality in volatility 3 multivariate GARCH models 3 proxy identification 3 structural identification 3 volatility impulse response functions 3 Causality analysis 2 Kausalanalyse 2 Schock 2 Shock 2 Multivariate Analyse 1 Multivariate analysis 1 multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 3
Author
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Fengler, Matthias 3 Polivka, Jeannine 3
Published in...
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Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Journal of financial econometrics 1 Research paper series / Swiss Finance Institute 1
Source
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ECONIS (ZBW) 3
Showing 1 - 3 of 3
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - In: Journal of financial econometrics 23 (2025) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10015339180
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2024
Persistent link: https://www.econbiz.de/10015130707
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Cover Image
Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2022
Persistent link: https://www.econbiz.de/10013399810
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