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~subject:"Volatilität"
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Volatilität
Volatility
88
ARCH model
57
ARCH-Modell
57
Stochastischer Prozess
49
Theorie
49
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47
Stochastic process
46
Estimation
37
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36
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36
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34
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22
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21
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21
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16
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15
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15
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14
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13
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13
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13
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13
long memory
12
multivariate stochastic volatility
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11
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Asai, Manabu
68
McAleer, Michael
53
So, Mike Ka-pui
18
Chen, Cathy W. S.
9
Caporin, Massimiliano
8
Medeiros, Marcelo C.
7
Chang, Chia-Lin
5
So, Mike K. P.
5
Li, Wai Keung
4
Lam, Kin
3
Chiang, Thomas C.
2
Chung, Ray S. W.
2
Deng, Ruiping
2
Gupta, Rangan
2
Hatrick, Kerr
2
Ts'ai, Cheng-jen
2
Unite, Angelo A.
2
Yip, Iris W.H.
2
Brugal, Ivan
1
Brugal, Iván
1
Chan, Thomas W. C.
1
Chen, Ming-tien
1
Chib, Siddhartha
1
Chu, Amanda M. Y.
1
Dong, Manh Cuong
1
Jiang, Yue
1
Li, Raymond W. M.
1
Lin, Edward M. H.
1
Lin, Edward M.H.
1
Liu, Feng-Chi
1
Omori, Yasuhiro
1
Pauwels, Laurent
1
Peiris, M. Shelton
1
Peiris, Shelton
1
Than-Thi, Hong
1
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1
Xu, Rui
1
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1
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Econometric Institute research papers
10
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8
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6
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6
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6
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5
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4
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3
Econometrics : open access journal
3
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3
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2
International journal of forecasting
2
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2
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2
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1
Handbook of financial time series
1
IMES discussion paper series
1
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1
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1
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1
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1
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1
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1
TI 2017-038/III Tinbergen Institute Discussion Paper
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
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EconStor
3
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1
Long memory and asymmetry for matrix-exponential dynamic correlation processes
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
7
(
2015
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10010510043
Saved in:
2
Stochastic multivariate mixture covariance model
So, Mike Ka-pui
;
Li, Raymond W. M.
;
Asai, Manabu
;
Jiang, Yue
- In:
Journal of forecasting
36
(
2017
)
2
,
pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
Saved in:
3
A stochastic volatility model with Markov switching
So, Mike Ka-pui
- In:
Journal of business & economic statistics : JBES ; a …
16
(
1998
)
2
,
pp. 244-253
Persistent link: https://www.econbiz.de/10001243996
Saved in:
4
Forecasting exchange rate volatility using autoregressive random variance model
So, Mike Ka-pui
;
Lam, Kin
;
Li, Wai Keung
- In:
Applied financial economics
9
(
1999
)
6
,
pp. 583-591
Persistent link: https://www.econbiz.de/10001525271
Saved in:
5
Bayesian unit-root testing in stochastic volatility models
So, Mike Ka-pui
;
Li, Wai Keung
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
4
,
pp. 491-496
Persistent link: https://www.econbiz.de/10001412874
Saved in:
6
A threshold stochastic volatility model
So, Mike Ka-pui
;
Li, Wai Keung
;
Lam, Kin
- In:
Journal of forecasting
21
(
2002
)
7
,
pp. 473-500
Persistent link: https://www.econbiz.de/10001775843
Saved in:
7
Asymmetrical reaction to US stock-return news : evidence from major stocks markets based on a double-threshold model
Chen, Cathy W. S.
;
Chiang, Thomas C.
;
So, Mike Ka-pui
- In:
Journal of economics & business
55
(
2003
)
5/6
,
pp. 487-502
Persistent link: https://www.econbiz.de/10001804355
Saved in:
8
A Bayesian threshold nonlinearity test for financial time series
So, Mike Ka-pui
;
Chen, Cathy W. S.
;
Chen, Ming-tien
- In:
Journal of forecasting
24
(
2005
)
1
,
pp. 61-75
Persistent link: https://www.econbiz.de/10002569984
Saved in:
9
Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.
;
So, Mike Ka-pui
;
Lin, Edward M. H.
- In:
Journal of forecasting
28
(
2009
)
8
,
pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
Saved in:
10
A threshold factor multivariate stochastic volatility model
So, Mike Ka-pui
;
Ts'ai, Cheng-jen
- In:
Journal of forecasting
28
(
2009
)
8
,
pp. 712-735
Persistent link: https://www.econbiz.de/10003918208
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