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~subject:"Wahrscheinlichkeitsrechnung"
~subject:"ARCH model"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Wahrscheinlichkeitsrechnung
ARCH model
Estimation theory
103
Schätztheorie
103
Time series analysis
50
Zeitreihenanalyse
50
Estimation
33
Schätzung
33
ARCH-Modell
17
Volatility
17
Volatilität
17
Regression analysis
14
Regressionsanalyse
14
Cointegration
13
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13
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11
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11
Nichtparametrisches Verfahren
10
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cointegration
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Nichtlineare Regression
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Nonlinear regression
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Statistical distribution
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Structural break
7
Strukturbruch
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VAR model
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Abbara, Omar
1
Anatolyev, Stanislav
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Bu, Ruijun
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Chan, Jennifer So Kuen
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1
Ma, Jun
1
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1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
74
Econometric theory
44
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
43
Discussion paper / Tinbergen Institute
38
Economics letters
34
Econometric reviews
24
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
24
International journal of forecasting
22
Statistics in transition : an international journal of the Polish Statistical Association
17
The econometrics journal
17
Discussion paper / Center for Economic Research, Tilburg University
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Finance research letters
14
Journal of empirical finance
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
13
Journal of forecasting
13
Journal of risk
13
CREATES research paper
12
European journal of operational research : EJOR
12
Insurance / Mathematics & economics
12
Applied economics
11
International journal of economics and financial issues : IJEFI
11
Journal of risk and financial management : JRFM
11
Order statistics: applications
11
Journal of time series econometrics
10
Report / Econometric Institute, Erasmus University Rotterdam
10
Applied economics letters
9
CORE discussion papers : DP
9
Economic modelling
9
Journal of banking & finance
9
NBER Working Paper
9
The North American journal of economics and finance : a journal of financial economics studies
9
Computational economics
8
Econometrics : open access journal
8
Journal of financial econometrics
8
Journal of mathematical finance
8
Statistical papers
8
CEMMAP working papers / Centre for Microdata Methods and Practice
7
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
7
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ECONIS (ZBW)
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
5
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
6
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
7
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
8
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
9
Nonstationary autoregressive conditional duration models
Mishra, Anuj
;
Ramanathan, Thekke Variyam
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011743716
Saved in:
10
Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun
;
Cheng, Jie
;
Hadri, Kaddour
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
Saved in:
11
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 347-364
Persistent link: https://www.econbiz.de/10011649097
Saved in:
12
Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
Niu, Wei-fang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
4
,
pp. 421-438
Persistent link: https://www.econbiz.de/10009787977
Saved in:
13
Finite sample theory of QMLEs in ARCH models with an exogenous variable in the conditional variance equation
Iglesias, Emma M.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009513585
Saved in:
14
Optimal test for Markov switching GARCH models
Hu, Liang
;
Shin, Yongcheol
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
12
(
2008
)
3
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009513627
Saved in:
15
Spurious inference in the GARCH (1,1) model : when it is weakly identified
Ma, Jun
;
Nelson, Charles R.
;
Startz, Richard
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
11
(
2007
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10009512627
Saved in:
16
Estimation of value-at-risk and expected shortfall based on nonlinear extreme value theory
Martins-Filho, Carlos
(
contributor
);
Yao, Feng
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
10
(
2006
)
2
,
pp. 1-41
Persistent link: https://www.econbiz.de/10003558963
Saved in:
17
Issues of aggregation over time of conditional heteroscedastic volatility models : what kind of diffusion do we recover?
Trifi, Amine
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
10
(
2006
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10003559185
Saved in:
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