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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~isPartOf:"CREATES research paper"
~person:"Alizadeh, Sassan"
~person:"Teräsvirta, Timo"
~subject:"Scientific modelling"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Scientific modelling
Time series analysis
Estimation theory
11
Schätztheorie
11
Zeitreihenanalyse
6
ARCH model
5
ARCH-Modell
5
Nichtlineare Regression
4
Nonlinear regression
4
Volatilität
4
Autocorrelation
3
Autokorrelation
3
Multivariate Analyse
3
Multivariate analysis
3
Statistical test
3
Statistischer Test
3
VAR model
3
VAR-Modell
3
Börsenkurs
2
Correlation
2
Estimation
2
Korrelation
2
Schätzung
2
Share price
2
Australia
1
Australien
1
Changing seasonality
1
Cointegration
1
Deterministically varying correlation
1
Gaussian process
1
Kointegration
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
Modellierung
1
QLR test statistic
1
Regression analysis
1
Regressionsanalyse
1
STAR model
1
Saisonale Schwankungen
1
Saisonkomponente
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8
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8
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8
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8
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English
8
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Alizadeh, Sassan
Teräsvirta, Timo
Nielsen, Morten Ørregaard
11
Johansen, Søren
7
Kristensen, Dennis
6
Podolskij, Mark
4
Santucci de Magistris, Paolo
4
Taylor, Robert
4
Cavaliere, Giuseppe
3
Christensen, Kim
3
Kruse, Robinson
3
Proietti, Tommaso
3
Rossi, Eduardo
3
Silvennoinen, Annastiina
3
Andersen, Torben
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Ergemen, Yunus Emre
2
Grassi, Stefano
2
Hualde, Javier
2
Kanaya, Shin
2
Kang, Jian
2
Lunde, Asger
2
Medeiros, Marcelo C.
2
Nielsen, Bent
2
Pakkanen, Mikko S.
2
Seong, Dakyung
2
Yang, Yukai
2
Amado, Cristina
1
Berenguer-Rico, Vanessa
1
Bunzel, Helle
1
Callot, Laurent
1
Callot, Laurent A. F.
1
Casas, Isabel
1
Catani, Paul
1
Cho, Jin Seo
1
Christensen, Bent Jesper
1
Corcuera, José Manual
1
Creel, Michael D.
1
Dahl, Christian M.
1
Demetrescum, Matei
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CREATES research paper
Discussion paper / Tinbergen Institute
2
Econometrics : open access journal
2
Working papers / Rodney L. White Center for Financial Research
2
CEA_372Cass working paper series
1
Financial Institutions Center
1
NBER Working Paper
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NBER working paper series
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ECONIS (ZBW)
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1
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
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
7
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
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
Saved in:
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