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subject:"Exchange rate"
subject:"Volatilität"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business"
~subject:"Monte-Carlo-Simulation"
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Search: subject_exact:"Estimation theory"
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Exchange rate
Volatilität
Monte-Carlo-Simulation
Estimation theory
112
Schätztheorie
112
Time series analysis
50
Zeitreihenanalyse
50
Estimation
37
Schätzung
37
Volatility
20
ARCH model
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cointegration
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Enders, Walter
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Baruník, Jozef
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Bu, Ruijun
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
Journal of econometrics
151
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
Economics letters
50
Discussion paper / Tinbergen Institute
45
Econometric reviews
40
Economic modelling
32
Computational economics
23
Econometric theory
23
Working paper / National Bureau of Economic Research, Inc.
23
Applied economics
21
Journal of empirical finance
21
The econometrics journal
21
International journal of forecasting
20
NBER Working Paper
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
CREATES research paper
18
Quantitative finance
18
Applied economics letters
16
Econometrics : open access journal
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
Finance research letters
16
International journal of theoretical and applied finance
16
Journal of forecasting
16
NBER working paper series
16
European journal of operational research : EJOR
15
Journal of financial econometrics
15
Journal of banking & finance
14
Journal of risk and financial management : JRFM
13
CEMMAP working papers / Centre for Microdata Methods and Practice
12
International journal of economics and financial issues : IJEFI
12
The North American journal of economics and finance : a journal of financial economics studies
12
Working paper / Department of Econometrics and Business Statistics, Monash University
12
Risks : open access journal
11
Working paper
11
Discussion paper
10
Finance and stochastics
10
Journal of economic dynamics & control
10
Journal of the American Statistical Association : JASA
10
SFB 649 discussion paper
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
3
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
4
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
5
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
6
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
7
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
8
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
9
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
10
Detecting time variation in the price puzzle : a less informative prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011743732
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