Ordinal-response GARCH models for transaction data : a forecasting exercise
Year of publication: |
2019
|
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Authors: | Dimitrakopoulos, Stefanos ; Tsionas, Efthymios G. |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 35.2019, 4, p. 1273-1287
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Subject: | Conditional heteroscedasticity | In-mean effects | Leverage | Markov chain Monte Carlo | Moving average | Ordinal responses | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Heteroskedastizität | Heteroscedasticity | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
Description of contents: | Description [doi.org] |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enthalten in: Volume 37, issue 3 (July/September 2021), Seite 1317-1318 |
Other identifiers: | 10.1016/j.ijforecast.2019.02.016 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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