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person:"Croux, Christophe"
subject:"Volatility"
~language:"eng"
~person:"Teräsvirta, Timo"
~subject:"Correlation"
~subject:"Statistical test"
~type_genre:"Graue Literatur"
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Search: subject_exact:"Estimation theory"
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Croux, Christophe
Teräsvirta, Timo
Phillips, Peter C. B.
24
Sentana, Enrique
22
Amengual, Dante
16
Linton, Oliver
13
Pesaran, M. Hashem
13
Härdle, Wolfgang
12
Wolf, Michael
12
Canay, Ivan A.
11
Fiorentini, Gabriele
11
Dufour, Jean-Marie
10
Hafner, Christian M.
10
Koopman, Siem Jan
10
Bibinger, Markus
9
Brandt, Michael W.
9
Cai, Zongwu
9
Chernozhukov, Victor
9
Hsu, Yu-Chin
9
Kitagawa, Toru
9
Ledoit, Olivier
9
Breunig, Christoph
8
Bugni, Federico A.
8
Diebold, Francis X.
8
Kapetanios, George
8
Kristensen, Dennis
8
Spokojnyj, Vladimir G.
8
Xu, Yongdeng
8
Dette, Holger
7
Gao, Jiti
7
Shi, Xiaoxia
7
Sun, Yixiao
7
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6
Chen, Xiaohong
6
Corsi, Fulvio
6
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6
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
4
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
5
Robust and sparse estimation of the inverse covariance matrix using rank correlation measures
Croux, Christophe
;
Öllerer, Viktoria
-
2015
Persistent link: https://www.econbiz.de/10011290636
Saved in:
6
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
7
Robust sparse canonical correlation analysis
Wilms, Ines
;
Croux, Christophe
-
2014
Persistent link: https://www.econbiz.de/10010485679
Saved in:
8
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
Saved in:
9
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
Saved in:
10
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
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