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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~isPartOf:"CREATES research paper"
~person:"Alizadeh, Sassan"
~person:"Teräsvirta, Timo"
~subject:"Autokorrelation"
~subject:"Multivariate analysis"
~subject:"Scientific modelling"
~type_genre:"Arbeitspapier"
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Stochastischer Prozess
Volatility
Autokorrelation
Multivariate analysis
Scientific modelling
Estimation theory
11
Schätztheorie
11
Time series analysis
6
Zeitreihenanalyse
6
ARCH model
5
ARCH-Modell
5
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4
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4
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3
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Alizadeh, Sassan
Teräsvirta, Timo
Nielsen, Morten Ørregaard
4
Kristensen, Dennis
3
Silvennoinen, Annastiina
3
Andersen, Torben
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Kang, Jian
2
Kruse, Robinson
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Podolskij, Mark
2
Rossi, Eduardo
2
Santucci de Magistris, Paolo
2
Seong, Dakyung
2
Amado, Cristina
1
Callot, Laurent
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Cho, Jin Seo
1
Christensen, Bent Jesper
1
Christensen, Kim
1
Corcuera, José Manual
1
Creel, Michael D.
1
Demetrescu, Matei
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
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Gijbels, Irène
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Guégan, Dominique
1
Hall, Anthony D.
1
Hanck, Christoph
1
He, Changli
1
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Hubrich, Kirstin
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Jakobsen, Johan Stax
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CREATES research paper
Working papers / Rodney L. White Center for Financial Research
2
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1
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Financial Institutions Center
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ECONIS (ZBW)
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
4
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
5
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
6
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010336592
Saved in:
7
Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10009751844
Saved in:
8
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
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