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person:"McAleer, Michael"
~accessRights:"free"
~isPartOf:"Working paper"
~person:"Blazsek, Szabolcs"
~person:"Leschinski, Christian"
~person:"Yu, Jun"
~subject:"Zeitreihenanalyse"
~type_genre:"Non-commercial literature"
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Zeitreihenanalyse
Volatility
31
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Estimation
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McAleer, Michael
Blazsek, Szabolcs
Leschinski, Christian
Yu, Jun
Escribano, Álvaro
3
Javed, Farrukh
2
Karlsson, Sune
2
Licht, Adrian
2
Shi, Shuping
2
Österholm, Pär
2
Alfelt, Gustav
1
Asai, Manabu
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1
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1
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1
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1
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1
Caporin, Massimiliano
1
Carriero, Andrea
1
Chen, Han
1
Cho, Dooyeon
1
Clark, Todd E.
1
Edvinsson, Rodney
1
Fei, Yijie
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Gefang, Deborah
1
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1
Koop, Gary
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Leippold, Markus
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Li, Jia
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Manera, Matteo
1
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ECONIS (ZBW)
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1
Multivariate stochastic volatility models based on generalized Fisher transformation
Chen, Han
;
Fei, Yijie
;
Yu, Jun
-
2023
Persistent link: https://www.econbiz.de/10014329798
Saved in:
2
On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
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3
Weak identification of long memory with implications for inference
Li, Jia
;
Phillips, Peter C. B.
;
Shi, Shuping
;
Yu, Jun
-
2022
Persistent link: https://www.econbiz.de/10013542193
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4
Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012221928
Saved in:
5
Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012310604
Saved in:
6
Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
-
2019
Persistent link: https://www.econbiz.de/10012100546
Saved in:
7
Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010348324
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8
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
9
Block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008688575
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