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source:"econis"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~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
195
Zeitreihenanalyse
195
Theorie
79
Theory
79
Forecasting model
76
Prognoseverfahren
76
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66
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Gao, Jiti
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Martin, Gael M.
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Dong, Chaohua
4
Maneesoonthorn, Worapree
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Pan, Guangming
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Frazier, David T.
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McCabe, Brendan Peter Martin
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Leeds, Mark
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Li, Degui
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Loiza-Maya, Ruben
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Saart, Patrick
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Working paper / Department of Econometrics and Business Statistics, Monash University
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
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Economics letters
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Econometric reviews
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International journal of forecasting
41
Energy economics
38
Econometric theory
33
Working paper
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Applied economics
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CREATES research paper
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Finance research letters
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Journal of forecasting
25
Journal of risk and financial management : JRFM
25
International review of financial analysis
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
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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Econometric Institute research papers
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International review of economics & finance : IREF
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Research in international business and finance
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Applied economics letters
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CAMA working paper series
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International Journal of Energy Economics and Policy : IJEEP
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Journal of economic dynamics & control
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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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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
SFB 649 discussion paper
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Eigen-analysis for high-dimensional time series clustering
Zhang, Bo
;
Gao, Jiti
;
Pan, Guangming
;
Yang, Yanrong
-
2023
Persistent link: https://www.econbiz.de/10014452611
Saved in:
2
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
3
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
4
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
5
CLT for largest eigenvalues and unit root tests for high-dimensional nonstationary time series
Zhang, Bo
;
Pan, Guangming
;
Gao, Jiti
-
2016
Persistent link: https://www.econbiz.de/10011781720
Saved in:
6
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
7
Inference on nonstationary time series with moving mean
Gao, Jiti
;
Robinson, Peter M.
-
2013
Persistent link: https://www.econbiz.de/10009789503
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8
Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
-
2013
Persistent link: https://www.econbiz.de/10010189526
Saved in:
9
Orthogonal expansion of Lévy process functionals : theory and practice
Dong, Chaohua
;
Gao, Jiti
-
2013
Persistent link: https://www.econbiz.de/10009701598
Saved in:
10
Testing indepedence for a large number of high-dimensional random vectors
Pan, Guangming
;
Gao, Jiti
;
Yang, Yanrong
-
2013
Persistent link: https://www.econbiz.de/10009724611
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