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institution:"Centre for Analytical Finance <Århus>"
subject:"Risiko"
~institution:"Centre for Economic Policy Research"
~institution:"Federal Reserve System / Board of Governors"
~institution:"Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>"
~language:"eng"
~subject:"ARCH-Modell"
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Risiko
ARCH-Modell
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Mendoza, Enrique G.
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Burgess, Simon M.
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1
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1
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Centre for Analytical Finance <Århus>
Centre for Economic Policy Research
Federal Reserve System / Board of Governors
Institut für Statistik und Mathematische Wirtschaftstheorie <Augsburg>
National Bureau of Economic Research
213
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
18
Ekonomiska forskningsinstitutet <Stockholm>
16
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Conference on Risk and the Rate of Return <1973, Vail, Colo.>
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
8
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ECONIS (ZBW)
15
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1
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
Saved in:
2
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
3
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
Saved in:
4
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
5
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
6
Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies : the large claim case
Schmidli, Hanspeter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724275
Saved in:
7
Asymptotics of ruin probabilities for risk processes under optimal reinsurance policies : the small claim case
Schmidli, Hanspeter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724276
Saved in:
8
The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg
(
contributor
);
Lunde, Asger
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
Saved in:
9
Inflation forecast uncertainty
Giordani, Paolo
-
2000
Persistent link: https://www.econbiz.de/10013423121
Saved in:
10
Measuring income risk
Burgess, Simon M.
(
contributor
)
-
2000
Persistent link: https://www.econbiz.de/10013423125
Saved in:
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