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person:"Gredenhoff, Mikael P."
type_genre:"Collection of articles written by one author"
~isPartOf:"CREATES research paper"
~isPartOf:"SSE EFI working paper series in economics and finance"
~person:"Choi, In"
~person:"Teräsvirta, Timo"
~type_genre:"Non-commercial literature"
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Estimation theory
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Gredenhoff, Mikael P.
Choi, In
Teräsvirta, Timo
Nielsen, Morten Ørregaard
15
Johansen, Søren
10
Kristensen, Dennis
8
Podolskij, Mark
7
Cattaneo, Matias D.
6
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Kruse, Robinson
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Medeiros, Marcelo C.
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Varneskov, Rasmus Tangsgaard
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Hillebrand, Eric
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Lunde, Asger
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MacKinnon, James G.
4
Rahbek, Anders
4
Santucci de Magistris, Paolo
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Silvennoinen, Annastiina
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Taylor, Robert
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Bennedsen, Mikkel
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Cavaliere, Giuseppe
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Crump, Richard K.
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Kanaya, Shin
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Kock, Anders Bredahl
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Parra-Alvarez, Juan Carlos
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2
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CREATES research paper
SSE EFI working paper series in economics and finance
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ECONIS (ZBW)
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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
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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
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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
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
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5
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
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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/10011373232
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7
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
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8
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010336592
Saved in:
9
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
Saved in:
10
Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10009751844
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