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person:"Croux, Christophe"
subject:"Volatility"
~person:"Alizadeh, Sassan"
~person:"Hafner, Christian M."
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Stochastischer Prozess
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Estimation theory
29
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29
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11
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7
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7
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Croux, Christophe
Alizadeh, Sassan
Hafner, Christian M.
Phillips, Peter C. B.
33
Harvey, Andrew C.
18
Leybourne, Stephen James
18
Teräsvirta, Timo
18
Linton, Oliver
17
Johansen, Søren
16
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16
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16
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14
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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
Li, Jia
12
Todorov, Viktor
12
Zakoïan, Jean-Michel
12
Chan, Ngai Hang
11
Engle, Robert F.
11
Francq, Christian
11
Hendry, David F.
11
Koop, Gary
11
Mills, Terence C.
11
Nelson, Daniel B.
11
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11
Zhu, Ke
11
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10
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10
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10
McAleer, Michael
10
Sentana, Enrique
10
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9
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9
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Econometric theory
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1
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Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren : Ergebnisse des 5. Karlsruher Ökonometrie-Workshops
1
International journal of forecasting
1
Journal of applied econometrics
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
16
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1
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
2
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:
3
Linearly transforming variables in the VAR model, how does it change the impulse response?
Reusens, Peter
;
Croux, Christophe
- In:
Journal of econometric methods
7
(
2018
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011945885
Saved in:
4
Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011743732
Saved in:
5
Forecasting using sparse cointegration
Wilms, Ines
;
Croux, Christophe
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1256-1267
Persistent link: https://www.econbiz.de/10011622146
Saved in:
6
Volatility of price indices for heterogeneous goods with applications to the fine art market
Bocart, Fabian Y. R.
;
Hafner, Christian M.
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 291-312
Persistent link: https://www.econbiz.de/10011327602
Saved in:
7
An ARCH model without intercept
Hafner, Christian M.
;
Preminger, Arie
- In:
Economics letters
129
(
2015
),
pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
Saved in:
8
Locally stationary factor models : identification and nonparametric estimation
Motta, Giovanni
;
Hafner, Christian M.
;
Sachs, Rainer von
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1279-1319
Persistent link: https://www.econbiz.de/10009489713
Saved in:
9
Estimating autocorrelations in the presence of deterministic trends
Wang, Shin-huei
;
Hafner, Christian M.
- In:
Journal of time series econometrics
3
(
2011
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009623568
Saved in:
10
Robust forecasting with exponential and Holt-Winters smoothing
Gelper, Sarah
;
Fried, Roland
;
Croux, Christophe
- In:
Journal of forecasting
29
(
2010
)
3
,
pp. 285-300
Persistent link: https://www.econbiz.de/10003962570
Saved in:
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