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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Bibinger, Markus"
~person:"Cai, Zongwu"
~person:"Teräsvirta, Timo"
~subject:"Schätzung"
~subject:"Scientific modelling"
~subject:"Time series analysis"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Schätzung
Scientific modelling
Time series analysis
Estimation theory
60
Schätztheorie
60
Estimation
22
Zeitreihenanalyse
22
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Volatilität
15
Regression analysis
12
Regressionsanalyse
12
Statistical test
12
Statistischer Test
12
Nonparametric estimation
10
Correlation
9
Korrelation
9
ARCH model
8
ARCH-Modell
8
Theorie
8
Theory
8
VAR model
8
VAR-Modell
8
Autocorrelation
7
Autokorrelation
7
Causality analysis
7
Forecasting model
7
Kausalanalyse
7
Prognoseverfahren
7
Börsenkurs
6
Nichtlineare Regression
6
Nonlinear regression
6
Share price
6
Modellierung
5
Risikomaß
5
Risk measure
5
Impact assessment
4
Method of moments
4
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4
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Free
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Book / Working Paper
45
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Arbeitspapier
Graue Literatur
45
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45
Working Paper
45
Article in journal
2
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English
45
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Alizadeh, Sassan
Bibinger, Markus
Cai, Zongwu
Teräsvirta, Timo
Gao, Jiti
48
Koopman, Siem Jan
29
Phillips, Peter C. B.
29
Lütkepohl, Helmut
22
Nielsen, Morten Ørregaard
22
Linton, Oliver
19
Johansen, Søren
18
Kapetanios, George
18
Sibbertsen, Philipp
18
Härdle, Wolfgang
17
Peng, Bin
17
Lucas, André
15
Pesaran, M. Hashem
15
Weidner, Martin
14
Croux, Christophe
13
Hyndman, Rob J.
12
Swanson, Norman R.
11
Blasques, Francisco
10
Bonhomme, Stéphane
10
Dette, Holger
10
Fang, Ying
10
Giraitis, Liudas
10
Hafner, Christian M.
10
Hoderlein, Stefan
10
Hsu, Yu-Chin
10
Koop, Gary
10
Kristensen, Dennis
10
Reiß, Markus
10
Sentana, Enrique
10
Winker, Peter
10
Cavaliere, Giuseppe
9
Chen, Xiaohong
9
Dong, Chaohua
9
Kitagawa, Toru
9
Marcellino, Massimiliano
9
Martin, Gael M.
9
Nielsen, Bent
9
Taylor, Robert
9
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Rodney L. White Center for Financial Research
2
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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Working papers series in theoretical and applied economics
21
CREATES research paper
8
SFB 649 discussion paper
7
Discussion paper / Tinbergen Institute
2
Working papers / Rodney L. White Center for Financial Research
2
CEA_372Cass working paper series
1
CFS working paper series
1
Discussion papers of interdisciplinary research project 373
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Financial Institutions Center
1
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ECONIS (ZBW)
45
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A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu
;
Liu, Xiyuan
;
Su, Liangjun
-
2024
Persistent link: https://www.econbiz.de/10014521096
Saved in:
2
A combination forecast for nonparametric models with structural breaks
Cai, Zongwu
;
Gunawan
-
2023
Persistent link: https://www.econbiz.de/10014414260
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3
A model specification test for nonlinear stochastic diffusions with delay
Cai, Zongwu
;
Mei, Hongwei
;
Wang, Rui
-
2023
Persistent link: https://www.econbiz.de/10014280707
Saved in:
4
Penalized model averaging for high dimensional quantile regressions
Bao, Haowen
;
Cai, Zongwu
;
Sun, Yuying
-
2023
Persistent link: https://www.econbiz.de/10014280711
Saved in:
5
Estimating quantile treatment effects for panel data
Cai, Zongwu
;
Fang, Ying
;
Lin, Ming
;
Zhan, Mingfeng
-
2022
Persistent link: https://www.econbiz.de/10012888248
Saved in:
6
A new test on asset return predictability with structural breaks
Cai, Zongwu
;
Chang, Seong Yeon
-
2022
Persistent link: https://www.econbiz.de/10012888261
Saved in:
7
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:
8
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu
;
Liu, Xiyuan
-
2022
Persistent link: https://www.econbiz.de/10013283992
Saved in:
9
Testing conditional independence in macroeconomic policy evaluation for time series data
Fang, Ying
;
Lin, Ming
;
Tang, Shengfang
;
Cai, Zongwu
-
2021
Persistent link: https://www.econbiz.de/10012663950
Saved in:
10
Solving the price puzzle via a functional coefficient factor-augmented VAR model
Cai, Zongwu
;
Liu, Xiyuan
-
2021
Persistent link: https://www.econbiz.de/10012602647
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