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subject:"Share price"
subject:"Stock index"
~isPartOf:"School of Accounting, Finance and Economics & FEMARC working paper series"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~isPartOf:"The econometrics journal"
~person:"McAleer, Michael"
~person:"Peiris, Shelton"
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Share price
Stock index
Estimation
10
Schätzung
10
Volatility
6
Volatilität
6
Börsenkurs
5
Stochastic process
3
Stochastischer Prozess
3
ARCH model
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ARCH-Modell
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Capital income
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Estimation theory
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Forecasting model
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Kapitaleinkommen
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USA
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12-Month variance futures
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1980-1997
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1982-2003
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3-Month variance futures
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Aktienindex
1
Autoregressive conditional duration
1
Commodity derivative
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Conditional correlations
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Correlation
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Derivat
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McAleer, Michael
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Allen, David E.
10
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6
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4
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3
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3
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School of Accounting, Finance and Economics & FEMARC working paper series
The North American journal of economics and finance : a journal of financial economics studies
The econometrics journal
Econometric Institute research papers
9
Discussion paper / Tinbergen Institute
8
Working paper
5
Applied economics
2
Econometric reviews
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Econometrics : open access journal
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Economies : open access journal
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ECONIS (ZBW)
5
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1
Fitting Weibull ACD models to high frequency transactions data : a semi-parametric approach based on estimating functions
Kok Haur Ng
;
Allen, David E.
;
Peiris, Shelton
-
2009
Persistent link: https://www.econbiz.de/10003869587
Saved in:
2
Conditional correlations and volatility spillovers between crude oil and stock index returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 116-138
Persistent link: https://www.econbiz.de/10009777824
Saved in:
3
Estimating and simulating Weibull models of risk or price durations : an application to ACD models
Allen, David E.
;
Kok Haur Ng
;
Peiris, Shelton
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 214-225
Persistent link: https://www.econbiz.de/10009779281
Saved in:
4
A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2013
Persistent link: https://www.econbiz.de/10009711717
Saved in:
5
Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 113-123
Persistent link: https://www.econbiz.de/10003451750
Saved in:
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