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person:"Rombouts, Jeroen V. K."
~person:"Paolella, Marc S."
~person:"Shin, Dong-wan"
~subject:"Stochastischer Prozess"
~subject:"Time series analysis"
~type:"article"
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Search: subject_exact:"GARCH model"
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Rombouts, Jeroen V. K.
Paolella, Marc S.
Shin, Dong-wan
McAleer, Michael
23
Teräsvirta, Timo
13
Hafner, Christian M.
10
Ruiz, Esther
10
Asai, Manabu
9
Kumar, Dilip
9
Blazsek, Szabolcs
8
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8
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8
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8
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7
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7
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7
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7
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7
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7
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6
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6
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6
Huang, Zhuo
6
Jawadi, Fredj
6
Kim, Jong-Min
6
Nguyen, Duc Khuong
6
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5
Aloui, Chaker
5
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5
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Hammoudeh, Shawkat
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Journal of econometrics
3
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2
Economics letters
2
Asia-Pacific journal of financial studies
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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1
A self-normalization test for correlation change
Choi, Ji-Eun
;
Shin, Dong-wan
- In:
Economics letters
193
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012509218
Saved in:
2
Value at risk forecasting for volatility index
Park, Seul-Ki
;
Choi, Ji-Eun
;
Shin, Dong-wan
- In:
Applied economics letters
24
(
2017
)
21
,
pp. 1613-1620
Persistent link: https://www.econbiz.de/10011853568
Saved in:
3
Long-memories and mean breaks in realized volatilities
Song, Hyejin
;
Shin, Dong-wan
- In:
Applied economics letters
22
(
2015
)
16/18
,
pp. 1273-1280
Persistent link: https://www.econbiz.de/10011380139
Saved in:
4
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
5
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
Saved in:
6
Modeling and forecasting realized volatilities of Korean financial assets featuring long memory and asymmetry
Park, Soyoung
;
Shin, Dong-wan
- In:
Asia-Pacific journal of financial studies
43
(
2014
)
1
,
pp. 31-58
Persistent link: https://www.econbiz.de/10010348459
Saved in:
7
Mixed exponential power asymmetric conditional heteroskedasticity
Rombouts, Jeroen V. K.
;
Bouaddi, Mohammed
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009513576
Saved in:
8
Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
Lee, O.
;
Shin, Dong-wan
- In:
Economics letters
84
(
2004
)
2
,
pp. 167-173
Persistent link: https://www.econbiz.de/10002116204
Saved in:
9
Mixed normal conditional heteroskedasticity
Haas, Markus
;
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 211-250
Persistent link: https://www.econbiz.de/10002214262
Saved in:
10
Stationary of stable power-GARCH processes
Mittnik, Stefan
;
Paolella, Marc S.
;
Rachev, Svetlozar T.
- In:
Journal of econometrics
106
(
2002
)
1
,
pp. 97-107
Persistent link: https://www.econbiz.de/10001633694
Saved in:
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