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source:"econis"
subject:"Zeitreihenanalyse"
~person:"Hafner, Christian M."
~person:"Harvey, Andrew C."
~subject:"ARCH model"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
ARCH model
Estimation theory
26
Schätztheorie
26
ARCH-Modell
9
Theorie
6
Theory
6
Time series analysis
6
Correlation
5
Korrelation
5
Volatility
5
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5
Estimation
4
Portfolio selection
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Schätzung
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Linear algebra
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Statistical distribution
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Correlation Matrix
2
Kronecker Product
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Multivariate Analyse
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Option pricing theory
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Optionspreistheorie
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Portfolio Choice
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Sparsity
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score
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Aggregation
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Analysis of variance
1
Ausreißer
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Capital market returns
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Arbeitspapier
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22
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13
Graue Literatur
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4
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Hafner, Christian M.
Harvey, Andrew C.
Gao, Jiti
38
Koopman, Siem Jan
31
Phillips, Peter C. B.
26
Nielsen, Morten Ørregaard
25
Johansen, Søren
22
Lütkepohl, Helmut
22
Maravall Herrero, Agustín
22
Teräsvirta, Timo
21
Franses, Philip Hans
20
Sibbertsen, Philipp
19
Lucas, André
16
Peng, Bin
16
Kapetanios, George
15
Linton, Oliver
15
Gouriéroux, Christian
13
Hyndman, Rob J.
13
Härdle, Wolfgang
13
Pesaran, M. Hashem
13
Swanson, Norman R.
13
Zakoïan, Jean-Michel
12
Gómez, Víctor
11
Koop, Gary
11
Li, Degui
11
Ooms, Marius
11
Bauwens, Luc
10
Blasques, Francisco
10
Brännäs, Kurt
10
Fiorentini, Gabriele
10
Francq, Christian
10
Nielsen, Bent
10
Sentana, Enrique
10
Beran, Jan
9
Dong, Chaohua
9
Feng, Yuanhua
9
Giraitis, Liudas
9
Martin, Gael M.
9
Miller, J. Isaac
9
Mélard, Guy
9
Schlicht, Ekkehart
9
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ECONIS (ZBW)
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1
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
2
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
3
Filtering with heavy tails
Harvey, Andrew C.
;
Luati, Alessandra
-
2012
Persistent link: https://www.econbiz.de/10009737948
Saved in:
4
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
-
2009
Persistent link: https://www.econbiz.de/10003942464
Saved in:
5
Testing for trend
Busetti, Fabio
-
2007
Persistent link: https://www.econbiz.de/10013439576
Saved in:
6
Asymptotic theory for a factor GARCH model
Hafner, Christian M.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003375885
Saved in:
7
Deciding between GARCH and stochastic volatility via strong decision rules
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003329726
Saved in:
8
Semi-parametric modelling of correlation dynamics
Hafner, Christian M.
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003010850
Saved in:
9
Temporal aggregation of multivariate GARCH processes
Hafner, Christian M.
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002186310
Saved in:
10
Estimation of temporally aggregated multivariate GARCH models
Hafner, Christian M.
(
contributor
); …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002186338
Saved in:
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