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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Stochastischer Prozess
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Caldeira, João F.
1
Carnero, M. Angeles
1
Durham, Garland
1
Fleming, Jeff
1
Franses, Philip Hans
1
Gagliardini, Patrick
1
Geweke, John
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Ghysels, Eric
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Haas, Markus
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Kirby, Chris
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Leij, Marco van der
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Mittnik, Stefan
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Moura, Guilherme Valle
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Nogales, Francisco J.
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Paap, Richard
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Paolella, Marc S.
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Peña, Daniel
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Rubin, M.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
27
Discussion paper / Tinbergen Institute
16
Journal of empirical finance
9
Econometric Institute research papers
8
Econometric reviews
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Energy economics
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CORE discussion papers : DP
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Computational economics
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Econometrics : open access journal
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International journal of forecasting
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The North American journal of economics and finance : a journal of financial economics studies
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CREATES research paper
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Discussion papers of interdisciplinary research project 373
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Research in international business and finance
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CAMA working paper series
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
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European journal of operational research : EJOR
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
2
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
3
Improving asset price prediction when all models are false
Durham, Garland
;
Geweke, John
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 278-306
Persistent link: https://www.econbiz.de/10010351546
Saved in:
4
A simple test for GARCH against a stochastic volatility model
Franses, Philip Hans
;
Leij, Marco van der
;
Paap, Richard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
3
,
pp. 291-306
Persistent link: https://www.econbiz.de/10003748059
Saved in:
5
Mixed normal conditional heteroskedasticity
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 211-250
Persistent link: https://www.econbiz.de/10002214262
Saved in:
6
Persistence and kurtosis in GARCH and stochastic volatility models
Carnero, M. Angeles
;
Peña, Daniel
;
Ruiz, Esther
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 319-342
Persistent link: https://www.econbiz.de/10002214313
Saved in:
7
A closer look at the relation between GARCH and stochastic autoregressive volatility
Fleming, Jeff
;
Kirby, Chris
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
3
,
pp. 365-419
Persistent link: https://www.econbiz.de/10002214166
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