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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Andrews, Donald W. K."
~person:"Teräsvirta, Timo"
~subject:"Scientific modelling"
~type_genre:"Arbeitspapier"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Scientific modelling
Estimation theory
42
Schätztheorie
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Theorie
10
Theory
10
Induktive Statistik
9
Method of moments
9
Momentenmethode
9
Statistical inference
9
Statistical test
9
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9
Time series analysis
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Volatilität
9
Zeitreihenanalyse
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ARCH-Modell
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Nichtlineare Regression
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Multivariate Analyse
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Estimation
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14
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Alizadeh, Sassan
Andrews, Donald W. K.
Teräsvirta, Timo
Koopman, Siem Jan
15
Reiß, Markus
10
Lucas, André
8
Nesheim, Lars
7
Phillips, Peter C. B.
7
Sentana, Enrique
7
Swanson, Norman R.
7
Bibinger, Markus
6
Blasques, Francisco
6
Nielsen, Morten Ørregaard
6
Croux, Christophe
5
Ekeland, Ivar
5
Hafner, Christian M.
5
Heckman, James J.
5
Koop, Gary
5
Rodriguez, Gabriel
5
Weidner, Martin
5
Bonhomme, Stéphane
4
Brandt, Michael W.
4
Cai, Zongwu
4
Christopeit, Norbert
4
Corradi, Valentina
4
Dette, Holger
4
Gorgi, Paolo
4
Hansen, Christian Bailey
4
Hautsch, Nikolaus
4
Huber, Florian
4
Kristensen, Dennis
4
Leon-Gonzalez, Roberto
4
Malec, Peter
4
Massmann, Michael
4
Olivei, Giovanni P.
4
Platen, Eckhard
4
Sibbertsen, Philipp
4
Silvennoinen, Annastiina
4
Strachan, Rodney W.
4
Tauchen, George Eugene
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Todorov, Viktor
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Rodney L. White Center for Financial Research
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Cowles Foundation discussion paper
5
CREATES research paper
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CEA_372Cass working paper series
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ECONIS (ZBW)
14
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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
Inference in moment inequality models that Is robust to spurious precision under model misspeci fication
Andrews, Donald W. K.
;
Kwon, Soonwoo
-
2019
-
Revised: July 8, 2019
Persistent link: https://www.econbiz.de/10012053175
Saved in:
4
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:
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/10011777143
Saved in:
6
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
Saved in:
7
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:
8
Inference for parameters defined by moment inequalities : a recommended moment selection procedure
Andrews, Donald W. K.
(
contributor
);
Jia, Panle
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003773569
Saved in:
9
Validity of subsampling and "plug-in asymptotic" inference for parameters defined by moment inequalities
Andrews, Donald W. K.
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003723159
Saved in:
10
Inference for parameters defined by moment inequalities using generalized moment selection
Andrews, Donald W. K.
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003723205
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