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subject:"Deutschland"
subject:"Forecasting model"
~person:"Bauwens, Luc"
~person:"Li, Guodong"
~subject:"ARCH model"
~type:"article"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Deutschland
Forecasting model
ARCH model
Estimation theory
24
Schätztheorie
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Time series analysis
12
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12
ARCH-Modell
10
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7
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7
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5
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5
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Aufsatz in Zeitschrift
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11
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11
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Bauwens, Luc
Li, Guodong
Francq, Christian
18
Zakoïan, Jean-Michel
14
Teräsvirta, Timo
13
Kumar, Dilip
12
Lütkepohl, Helmut
11
Rahbek, Anders
8
Cai, Zongwu
7
Ling, Shiqing
7
Swanson, Norman R.
7
Tsay, Ruey S.
7
Ardia, David
6
Demetrescu, Matei
6
Kapetanios, George
6
Kim, Donggyu
6
Linton, Oliver
6
Maheswaran, S.
6
Paolella, Marc S.
6
Peng, Liang
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Taylor, James W.
6
Baltagi, Badi H.
5
Chan, Ngai Hang
5
Fosten, Jack
5
Hafner, Christian M.
5
Horváth, Lajos
5
Koop, Gary
5
Krämer, Walter
5
Lahiri, Kajal
5
Lechner, Michael
5
Lee, Ji Hyung
5
Luger, Richard
5
McAleer, Michael
5
McCracken, Michael W.
5
Rossi, Barbara
5
Shi, Yanlin
5
Sucarrat, Genaro
5
Tu, Yundong
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Journal of econometrics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Econometric theory
1
International journal of forecasting
1
Journal of empirical finance
1
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ECONIS (ZBW)
11
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1
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Saved in:
2
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
3
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
4
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
5
Linear double autoregression
Zhu, Qianqian
;
Zheng, Yao
;
Li, Guodong
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
Saved in:
6
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
7
A new hyperbolic GARCH model
Li, Muyi
;
Li, Wai Keung
;
Li, Guodong
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
Saved in:
8
A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
9
Score tests for hyperbolic GARCH models
Li, Muyi
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
4
,
pp. 579-586
Persistent link: https://www.econbiz.de/10009355588
Saved in:
10
Least absolute deviation estimation for unit root processes with GARCH errors
Li, Guodong
;
Li, Wai Keung
- In:
Econometric theory
25
(
2009
)
5
,
pp. 1208-1227
Persistent link: https://www.econbiz.de/10003885748
Saved in:
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