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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"United States"
~subject:"Zeitreihenanalyse"
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United States
Zeitreihenanalyse
Volatility
104
Volatilität
104
Estimation
46
Schätzung
46
Theorie
46
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46
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45
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35
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
The journal of futures markets
207
Working paper / National Bureau of Economic Research, Inc.
206
Energy economics
132
Journal of econometrics
124
Discussion paper / Tinbergen Institute
91
The review of financial studies
91
Journal of banking & finance
89
Economic modelling
87
Journal of empirical finance
86
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
80
Finance research letters
77
The North American journal of economics and finance : a journal of financial economics studies
74
Discussion paper / Centre for Economic Policy Research
73
Applied economics
71
International journal of forecasting
70
Applied financial economics
68
Working paper
68
Economics letters
64
International review of financial analysis
64
The journal of finance : the journal of the American Finance Association
64
International review of economics & finance : IREF
63
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
59
Journal of financial and quantitative analysis : JFQA
51
Journal of financial economics
48
Applied economics letters
44
Econometric reviews
44
Research in international business and finance
43
Journal of risk and financial management : JRFM
41
Journal of forecasting
40
Journal of international financial markets, institutions & money
40
Journal of international money and finance
40
CESifo working papers
38
NBER working paper series
37
Econometric Institute research papers
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
American journal of agricultural economics
35
Finance and economics discussion series
35
The review of economics and statistics
32
CREATES research paper
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ECONIS (ZBW)
42
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1
Predictive evaluation of econometric forecasting models in commodity futures markets
Zeng, Tian
(
contributor
);
Swanson, Norman R.
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
2
(
1997
)
4
,
pp. 159-177
Persistent link: https://www.econbiz.de/10001769691
Saved in:
2
Common time variation of parameters in reduced-form macroeconomic models
Stevanovic, Dalibor
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
2
,
pp. 159-183
Persistent link: https://www.econbiz.de/10011507469
Saved in:
3
Estimation of long memory in
volatility
using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
Saved in:
4
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:
5
Particle Gibbs with ancestor sampling for stochastic
volatility
models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
5
,
pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
Saved in:
6
Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching
volatility
regimes
Tzagkarakis, George
;
Dionysopoulos, Thomas
;
Achim, Alin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 75-96
Persistent link: https://www.econbiz.de/10011431136
Saved in:
7
Estimating dynamic copula dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Saved in:
8
Estimating C-CAPM and the equity premium over the frequency domain
Kalyvitēs, Sarantēs
;
Panopulu, Aikaterinē
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
5
,
pp. 551-571
Persistent link: https://www.econbiz.de/10010228554
Saved in:
9
Regimes and long memory in realized
volatility
Goldman, Elena
;
Nam, Jouahn
;
Tsurumi, Hiroki
;
Jun, Wang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
5
,
pp. 521-549
Persistent link: https://www.econbiz.de/10010228559
Saved in:
10
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
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