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person:"Stambaugh, Robert F."
subject:"Share price"
~person:"Bauwens, Luc"
~person:"Teräsvirta, Timo"
~person:"Todorov, Viktor"
~subject:"CAPM"
~subject:"Eigenkapital"
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Search: subject_exact:"Estimation theory"
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Share price
CAPM
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Estimation theory
136
Schätztheorie
136
Time series analysis
68
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68
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39
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39
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39
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39
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31
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31
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30
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25
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20
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Stambaugh, Robert F.
Bauwens, Luc
Teräsvirta, Timo
Todorov, Viktor
Kan, Raymond
16
Kapetanios, George
15
Pesaran, M. Hashem
15
Robotti, Cesare
15
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14
Linton, Oliver
13
Tauchen, George Eugene
13
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10
Dufour, Jean-Marie
9
Engle, Robert F.
9
Maheswaran, S.
9
Shephard, Neil G.
9
Allen, David E.
8
Bailey, Natalia
8
Crump, Richard K.
8
Hautsch, Nikolaus
8
Khalaf, Lynda
8
Kim, Donggyu
8
Lee, Cheng F.
8
Li, Jia
8
Sentana, Enrique
8
Shanken, Jay
8
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7
Grammig, Joachim
7
Malec, Peter
7
Renault, Eric
7
Runde, Ralf
7
Wang, Yazhen
7
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6
Gao, Jiti
6
Gospodinov, Nikolaj
6
Krämer, Walter
6
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6
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6
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ECONIS (ZBW)
30
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1
Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometrics : open access journal
11
(
2023
)
1
,
pp. 1-37
This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...
Persistent link: https://www.econbiz.de/10014281494
Saved in:
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
Saved in:
3
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
4
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:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
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
Saved in:
7
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
8
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
9
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
10
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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