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~isPartOf:"CREATES research paper"
~subject:"ARCH-Modell"
~subject:"Nichtlineare Regression"
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ARCH-Modell
Nichtlineare Regression
Modellierung
32
Scientific modelling
32
Time series analysis
12
Zeitreihenanalyse
12
Volatility
9
Volatilität
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Nonlinear regression
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Portfolio selection
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Portfolio-Management
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Risikoprämie
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Risk premium
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Teräsvirta, Timo
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Bohn Nielsen, Heino
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Dziubinski, Matt
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CREATES research paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Recent advances in estimating nonlinear models : with applications in economics and finance
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Tydskrif vir studies in ekonomie en ekonometrie : SEE
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ECONIS (ZBW)
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First and second order non-linear cointegration models
Lange, Theis
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2009
Persistent link: https://www.econbiz.de/10003849457
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2
Option valuation with the simplified component GARCH model
Dziubinski, Matt
-
2011
Persistent link: https://www.econbiz.de/10008857566
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3
Nonlinear models for autoregressive conditional heteroskedasticity
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779686
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4
Modelling volatility by variance decomposition
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10008779696
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5
Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuowei
;
Shek, Howard Howan
-
2010
Persistent link: https://www.econbiz.de/10003941851
Saved in:
6
Unit root vector autoregression with volatility induced stationarity
Rahbek, Anders
;
Bohn Nielsen, Heino
-
2012
Persistent link: https://www.econbiz.de/10009546007
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