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isPartOf:"Econometric theory"
type_genre:"Article in journal"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"ARCH model"
~type_genre:"Conference proceedings"
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Search: subject_exact:"Estimation theory"
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ARCH model
Estimation theory
1,313
Schätztheorie
1,313
Theorie
480
Theory
480
Time series analysis
296
Zeitreihenanalyse
296
Nichtparametrisches Verfahren
212
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212
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180
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180
Estimation
154
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154
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98
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98
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Linton, Oliver
5
Chan, Ngai Hang
3
Francq, Christian
3
Horváth, Lajos
3
Kokoszka, Piotr
3
Ling, Shiqing
3
Zhang, Rongmao
3
Bauwens, Luc
2
Berkes, István
2
Hafner, Christian M.
2
Kristensen, Dennis
2
Li, Guodong
2
Li, Wai Keung
2
Saikkonen, Pentti
2
Sheppard, Kevin
2
Tsay, Ruey S.
2
Zaffaroni, Paolo
2
Zakoïan, Jean-Michel
2
Aielli, Gian Piero
1
Amado, Cristina
1
Andrews, Beth
1
Audrino, Francesco
1
Ausín, M. Concepción
1
Avarucci, Marco
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
Comte, Fabienne
1
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1
Dedecker, J.
1
Engle, Robert F.
1
Fan, Jianqing
1
Feng, Yuanhua
1
Galeano, Pedro
1
Gao, Feng
1
Gerlach, Richard H.
1
Ghysels, Eric
1
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Econometric theory
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
50
Economics letters
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Econometric reviews
15
The econometrics journal
14
International journal of forecasting
13
Journal of empirical finance
13
Finance research letters
12
Journal of risk
12
International journal of economics and financial issues : IJEFI
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
11
Applied economics
10
Journal of time series econometrics
10
Economic modelling
9
Journal of banking & finance
9
Journal of risk and financial management : JRFM
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Applied economics letters
7
Econometrics : open access journal
7
Journal of mathematical finance
7
The journal of risk model validation
7
Computational economics
6
International Journal of Energy Economics and Policy : IJEEP
6
Annals of financial economics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
The European journal of finance
5
CBN journal of applied statistics
4
International journal of economics and finance
4
Journal of economic dynamics & control
4
Theoretical economics letters
4
Central European journal of economic modelling and econometrics
3
Financial innovation : FIN
3
Insurance / Mathematics & economics
3
International journal of financial research
3
International journal of monetary economics and finance
3
International review of economics & finance : IREF
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ECONIS (ZBW)
60
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1
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
2
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
3
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
4
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
5
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
Saved in:
6
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
7
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
8
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
9
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
10
Volatility martingale difference divergence matrix and its application to dimension reduction for multivariate volatility
Lee, Chung Eun
;
Shao, Xiaofeng
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 80-92
Persistent link: https://www.econbiz.de/10012179517
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