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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~person:"Hautsch, Nikolaus"
~person:"Tsay, Ruey S."
~subject:"Ljung–Box test"
~subject:"Volatilität"
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Deutschland
Forecasting model
Ljung–Box test
Volatilität
Estimation theory
5
Schätztheorie
5
Correlation
3
Estimation
3
Korrelation
3
Schätzung
3
Time series analysis
3
Volatility
3
Zeitreihenanalyse
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ARCH model
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ARCH-Modell
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1986-1996
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ARCH effect
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Common volatility component
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Foreign exchange rate
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Generalized covariance matrix
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Germany
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High frequency data
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High-dimensional time series
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Intraday (co-)variation risk
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Japan
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Jump diffusions
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Local method of moments
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Long memory
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Market microstructure
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Hautsch, Nikolaus
Tsay, Ruey S.
Kumar, Dilip
4
Ling, Shiqing
3
Maheswaran, S.
3
Cai, Zongwu
2
Ghysels, Eric
2
Jing, Bingyi
2
Lechner, Michael
2
Liesenfeld, Roman
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Otter, Pieter W.
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Peng, Liang
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Poskitt, Donald Stephen
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Russell, Jeffrey R.
2
Shephard, Neil G.
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Yang, Xiye
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Zhang, Xinyu
2
Ai, Xin
1
Alfelt, Gustav
1
Amado, Cristina
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Andersen, Torben
1
Andreou, Elena
1
Ang, Andrew
1
Baillie, Richard T.
1
Bandi, Federico M.
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Bauwens, Luc
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Bekaert, Geert
1
Bera, Anil K.
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Beyer, Andreas
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Bibinger, Markus
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Bodnar, Taras
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Bodory, Hugo
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Bollerslev, Tim
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Bonham, Carl Stanley
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Bormetti, Giacomo
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Boswijk, Herman Peter
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Economic modelling
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
SFB 649 discussion paper
3
CFS working paper series
1
Econometric reviews
1
International journal of forecasting
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Journal of econometrics
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Journal of forecasting
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ECONIS (ZBW)
5
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1
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
Saved in:
2
Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 419-435
Persistent link: https://www.econbiz.de/10012178185
Saved in:
3
Principal volatility component analysis
Hu, Yu-Pin
;
Tsay, Ruey S.
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
2
,
pp. 153-177
Persistent link: https://www.econbiz.de/10010410764
Saved in:
4
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus
;
Podolskij, Mark
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
2
,
pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
Saved in:
5
True or spurious long memory? : a new test
Ohanissian, Arek
;
Russell, Jeffrey R.
;
Tsay, Ruey S.
- In:
Journal of business & economic statistics : JBES ; a …
26
(
2008
)
2
,
pp. 161-175
Persistent link: https://www.econbiz.de/10003675667
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