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source:"econis"
~isPartOf:"CESifo working papers"
~isPartOf:"Energy economics"
~isPartOf:"The econometrics journal"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
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Search: subject_exact:"Time series analysis"
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Stochastischer Prozess
Volatility
Time series analysis
426
Zeitreihenanalyse
425
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150
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150
Estimation
138
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138
Forecasting model
103
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103
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95
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Caporale, Guglielmo Maria
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Gil-Alaña, Luis A.
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Benth, Fred Espen
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Hammoudeh, Shawkat
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Lütkepohl, Helmut
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Ma, Feng
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Plastun, Alex
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Balcilar, Mehmet
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Cajueiro, Daniel Oliveira
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Ji, Qiang
2
Klein, Tony
2
Liu, Li
2
McAleer, Michael
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Nguyen, Duc Khuong
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Pesaran, M. Hashem
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Qu, Hui
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Barigozzi, Matteo
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1
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CESifo working papers
Energy economics
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Journal of econometrics
140
Discussion paper / Tinbergen Institute
93
International journal of forecasting
66
Economic modelling
65
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Econometric reviews
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Journal of empirical finance
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Economics letters
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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30
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Journal of financial econometrics
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Journal of risk and financial management : JRFM
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Applied economics letters
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Research in international business and finance
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Journal of economic dynamics & control
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Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Cowles Foundation discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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101
Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003641741
Saved in:
102
Bootstrapping autoregression under non-stationary volatility
Xu, Ke-li
- In:
The econometrics journal
11
(
2008
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10003648596
Saved in:
103
Forecasting random walks under drift instability
Pesaran, M. Hashem
(
contributor
);
Pick, Andreas
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003711763
Saved in:
104
Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
Tabak, Benjamin Miranda
;
Cajueiro, Daniel Oliveira
- In:
Energy economics
29
(
2007
)
1
,
pp. 28-36
Persistent link: https://www.econbiz.de/10003413296
Saved in:
105
Deterministic versus stochastic seasonal fractional integration and structural breaks
Caporale, Guglielmo Maria
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003497650
Saved in:
106
Nob-linear GARCH models for highly persistent volatility
Lanne, Markku
;
Saikkonen, Pentti
- In:
The econometrics journal
8
(
2005
)
2
,
pp. 251-276
Persistent link: https://www.econbiz.de/10003018967
Saved in:
107
Stochastic volatility : Bayesian computation using automatic differentiation and the extended Kalman filter
Meyer, Renate
;
Fournier, David A.
;
Berg, Andreas
- In:
The econometrics journal
6
(
2003
)
2
,
pp. 408-420
Persistent link: https://www.econbiz.de/10001831283
Saved in:
108
An optimal test against a random walk component in a non-orthogonal unobserved components model
Bailey, Ralph W.
;
Taylor, Robert
- In:
The econometrics journal
5
(
2002
)
2
,
pp. 520-532
Persistent link: https://www.econbiz.de/10001713335
Saved in:
109
Volatility transmission in the oil and natural gas markets
Ewing, Bradley T.
;
Malik, Farooq
;
Ozfidan, Ozkan
- In:
Energy economics
24
(
2002
)
6
,
pp. 525-538
Persistent link: https://www.econbiz.de/10001713344
Saved in:
110
Stochastic specification and the international GDP series
Bhargava, Alok
- In:
The econometrics journal
4
(
2001
)
4
,
pp. 273-286
Persistent link: https://www.econbiz.de/10001651358
Saved in:
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