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source:"econis"
~isPartOf:"Journal of time series econometrics"
~subject:"ARCH model"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Time series analysis"
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ARCH model
Stochastischer Prozess
Time series analysis
73
Zeitreihenanalyse
73
Estimation theory
39
Schätztheorie
39
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28
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28
ARCH-Modell
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time series
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Asai, Manabu
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So, Mike Ka-pui
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Allen, David E.
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Journal of time series econometrics
Journal of econometrics
101
Discussion paper / Tinbergen Institute
79
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
50
Economic modelling
45
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Journal of empirical finance
43
Economics letters
42
Econometric reviews
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International journal of forecasting
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Energy economics
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Econometric theory
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CREATES research paper
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Finance research letters
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25
Journal of risk and financial management : JRFM
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International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The North American journal of economics and finance : a journal of financial economics studies
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The econometrics journal
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Computational economics
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Journal of banking & finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
21
Econometric Institute research papers
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Econometrics : open access journal
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Journal of financial econometrics
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International review of economics & finance : IREF
18
Quantitative finance
18
Research in international business and finance
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Applied economics letters
17
CAMA working paper series
15
International Journal of Energy Economics and Policy : IJEEP
15
Journal of economic dynamics & control
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Cowles Foundation discussion paper
14
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
SFB 649 discussion paper
14
Applied financial economics
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1
Realized BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
2
Simple factor realized stochastic volatility models
Kawakatsu, Hiroyuki
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 79-110
Persistent link: https://www.econbiz.de/10014288373
Saved in:
3
Cointegrated dynamics for a generalized long memory process : application to interest rates
Asai, Manabu
;
Peiris, Shelton
;
McAleer, Michael
;
Allen, …
- In:
Journal of time series econometrics
12
(
2020
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012258310
Saved in:
4
Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals
Chen, Jie
;
Politis, Dimitris N.
- In:
Journal of time series econometrics
12
(
2020
)
2
,
pp. 1-36
Persistent link: https://www.econbiz.de/10012300649
Saved in:
5
A flexible mixed-frequency vector autoregression with a steady-state prior
Ankargren, Sebastian
;
Unosson, Måns
;
Yang, Yukai
- In:
Journal of time series econometrics
12
(
2020
)
2
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012300798
Saved in:
6
Dynamic D-vine copula model with applications to Value-at-Risk (VaR)
Tófoli, Paula V.
;
Ziegelmann, Flávio A.
;
Candido, Osvaldo
- In:
Journal of time series econometrics
11
(
2019
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012022874
Saved in:
7
A generalized ARFIMA model with smooth transition fractional integration parameter
Boubaker, Heni
- In:
Journal of time series econometrics
10
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011817682
Saved in:
8
Signal extraction for nonstationary time series with diverse sampling rules
Trimbur, Thomas M.
;
McElroy, Tucker
- In:
Journal of time series econometrics
9
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011671120
Saved in:
9
Testing for nonlinearity in conditional covariances
Sanhaji, Bilel
- In:
Journal of time series econometrics
9
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011701865
Saved in:
10
A note on the QMLE limit theory in the non-stationary ARCH(1) model
Arvanitis, Stelios
;
Louka, Alexandros
- In:
Journal of time series econometrics
8
(
2016
)
1
,
pp. 21-39
Persistent link: https://www.econbiz.de/10011440450
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