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person:"Fitzenberger, Bernd"
type_genre:"Sammlung"
~person:"Bauwens, Luc"
~person:"Dette, Holger"
~person:"Fiorentini, Gabriele"
~person:"Franses, Philip Hans"
~person:"Krämer, Walter"
~subject:"ARCH model"
~subject:"Linear algebra"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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ARCH model
Linear algebra
Estimation theory
254
Schätztheorie
254
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103
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103
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65
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65
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54
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54
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27
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27
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23
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23
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20
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13
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Fitzenberger, Bernd
Bauwens, Luc
Dette, Holger
Fiorentini, Gabriele
Franses, Philip Hans
Krämer, Walter
Francq, Christian
26
Zakoïan, Jean-Michel
22
Hafner, Christian M.
19
Teräsvirta, Timo
16
Linton, Oliver
15
Rahbek, Anders
14
Kumar, Dilip
12
Sheppard, Kevin
10
Audrino, Francesco
9
Pedersen, Rasmus Søndergaard
9
Wolf, Michael
9
Engle, Robert F.
8
Ledoit, Olivier
8
McAleer, Michael
8
Preminger, Arie
8
Shephard, Neil G.
8
Silvennoinen, Annastiina
8
Ardia, David
7
Carnero, M. Angeles
7
Ling, Shiqing
7
Lütkepohl, Helmut
7
Otranto, Edoardo
7
Trojani, Fabio
7
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6
Horváth, Lajos
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6
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5
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5
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5
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5
Lucas, André
5
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5
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5
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5
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
5
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4
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2
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ECONIS (ZBW)
28
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1
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
2
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
3
Modelling realized covariance matrices: a class of Hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
-
2020
Persistent link: https://www.econbiz.de/10012429316
Saved in:
4
Modelling realized covariance matrices : a class of Hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
-
2020
-
Prima edizione
Persistent link: https://www.econbiz.de/10012515717
Saved in:
5
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
6
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
7
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
8
Dynamic conditional correlation models for realized covariance matrices
Bauwens, Luc
;
Storti, Giuseppe
;
Violante, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009722576
Saved in:
9
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
10
On the origins of high persistence in GARCH-models
Krämer, Walter
;
Tameze Azamo, Baudouin
;
Christou, …
-
2009
Persistent link: https://www.econbiz.de/10008839631
Saved in:
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