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person:"Kapetanios, George"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Oxford statistical science series"
~language:"eng"
~person:"Koopman, Siem Jan"
~subject:"Long memory"
~subject:"Volatilität"
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Long memory
Volatilität
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3
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Kapetanios, George
Koopman, Siem Jan
Dark, Jonathan
2
Santucci de Magistris, Paolo
2
Abergel, Frédéric
1
Amado, Cristina
1
Baillie, Richard
1
Bee, Marco
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Journal of empirical finance
Oxford statistical science series
Discussion paper / Tinbergen Institute
27
Econometric analysis of financial and economic time series ; part a
1
Econometric reviews
1
Economics letters
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of economic dynamics & control
1
Journal of financial econometrics
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Tinbergen Institute Discussion Paper 09-110/4
1
Tinbergen Institute Discussion Paper 10-032/2
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Tinbergen Institute Discussion Paper 14-118/III
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Tinbergen Institute Discussion Paper 20-004/III
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Tinbergen Institute Discussion Paper 2016-061/III
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
2
Bandwidth selection by cross-validation for forecasting long memory financial time series
Baillie, Richard
;
Kapetanios, George
;
Papailias, Fotis
- In:
Journal of empirical finance
29
(
2014
),
pp. 129-143
Persistent link: https://www.econbiz.de/10011300500
Saved in:
3
Level shifts in stock returns driven by large shocks
Dendramis, Yiannis
;
Kapetanios, George
;
Tzavalis, Elias
- In:
Journal of empirical finance
29
(
2014
),
pp. 41-51
Persistent link: https://www.econbiz.de/10011300506
Saved in:
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