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subject:"Exchange rate"
subject:"Volatilität"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARCH-Modell"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Exchange rate
Volatilität
ARCH-Modell
Estimation theory
107
Schätztheorie
107
Time series analysis
50
Zeitreihenanalyse
50
Estimation
33
Schätzung
33
ARCH model
17
Volatility
17
Regression analysis
15
Regressionsanalyse
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cointegration
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Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Carnero, M. Angeles
1
Chan, Jennifer So Kuen
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Cheng, Jie
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Chevallier, Julien
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Chuffart, Thomas
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Daníelsson, Jón
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Donfack, Morvan Nongni
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Dufays, Arnaud
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Escribano, Álvaro
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Flachaire, Emmanuel
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Goutte, Stéphane
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Hadri, Kaddour
1
Hou, Weijie
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Hu, Liang
1
Iglesias, Emma M.
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Jensen, Mark J.
1
Kalyvitēs, Sarantēs
1
Kok Haur Ng
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Kraicová, Lucie
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Lee, Kyungsub
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Li, Jing
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Licht, Adrian
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Ma, Jun
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Martins-Filho, Carlos
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Mishra, Anuj
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Nelson, Charles R.
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Niu, Wei-fang
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Panopulu, Aikaterinē
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Ramanathan, Thekke Variyam
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Shin, Yongcheol
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
143
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
72
Econometric theory
49
Economics letters
43
Econometric reviews
31
Journal of empirical finance
29
Economic modelling
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
International journal of forecasting
20
The econometrics journal
20
Journal of forecasting
19
Finance research letters
18
Journal of banking & finance
18
Journal of financial econometrics
17
Quantitative finance
17
International journal of economics and financial issues : IJEFI
16
Applied economics
15
International journal of theoretical and applied finance
13
Journal of risk
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Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Econometrics : open access journal
12
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
11
Applied economics letters
10
The European journal of finance
10
Journal of applied econometrics
9
Finance and stochastics
8
Handbook of financial time series
8
Research in international business and finance
8
The journal of risk model validation
8
Applied financial economics
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International Journal of Energy Economics and Policy : IJEEP
7
International journal of financial engineering
7
Journal of economic dynamics & control
7
Journal of international money and finance
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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
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:
3
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:
4
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
5
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
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
Nonstationary autoregressive conditional duration models
Mishra, Anuj
;
Ramanathan, Thekke Variyam
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011743716
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