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subject:"Exchange rate"
subject:"Volatilität"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Strukturbruch"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Exchange rate
Volatilität
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Estimation theory
107
Schätztheorie
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Time series analysis
50
Zeitreihenanalyse
50
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
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cointegration
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Schweikert, Karsten
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
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Blazsek, Szabolcs
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Bu, Ruijun
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Chan, Jennifer So Kuen
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Kok Haur Ng
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
146
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
40
Econometric reviews
34
Economic modelling
27
Journal of empirical finance
24
Econometric theory
19
International journal of forecasting
17
Quantitative finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Applied economics letters
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Finance research letters
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Journal of forecasting
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The econometrics journal
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14
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Econometrics : open access journal
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International journal of theoretical and applied finance
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Journal of financial econometrics
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International journal of economics and financial issues : IJEFI
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The North American journal of economics and finance : a journal of financial economics studies
12
Journal of applied econometrics
10
Journal of risk and financial management : JRFM
10
Journal of time series econometrics
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
9
Finance and stochastics
8
Journal of international money and finance
8
Journal of mathematical finance
8
Journal of quantitative economics
8
Computational economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International journal of financial engineering
7
Research in international business and finance
7
The European journal of finance
7
The review of economic studies
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Asia-Pacific financial markets
6
CBN journal of applied statistics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
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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
Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander
;
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 219-254
Persistent link: https://www.econbiz.de/10013334688
Saved in:
5
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:
6
Testing for cointegration with threshold adjustment in the presence of structural breaks
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012406026
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
A parametric stationarity test with smooth breaks
Tsong, Ching-Chuan
;
Lee, Cheng-Feng
;
Tsai, Li Ju
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054883
Saved in:
9
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:
10
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
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