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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Cai, Zongwu"
~person:"Teräsvirta, Timo"
~subject:"Schätzung"
~subject:"Scientific modelling"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Schätzung
Scientific modelling
Estimation theory
49
Schätztheorie
49
Estimation
19
Nichtparametrisches Verfahren
18
Nonparametric statistics
18
Time series analysis
17
Zeitreihenanalyse
17
Regression analysis
12
Regressionsanalyse
12
Statistical test
11
Statistischer Test
11
Nonparametric estimation
10
Volatilität
10
ARCH model
8
ARCH-Modell
8
VAR model
8
VAR-Modell
8
Autocorrelation
7
Autokorrelation
7
Causality analysis
7
Forecasting model
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Kausalanalyse
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Prognoseverfahren
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Nichtlineare Regression
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Nonlinear regression
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Modellierung
5
Risikomaß
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Risk measure
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Theorie
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Theory
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Impact assessment
4
Treatment effect
4
Wirkungsanalyse
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Börsenkurs
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27
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Arbeitspapier
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27
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27
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Alizadeh, Sassan
Cai, Zongwu
Teräsvirta, Timo
Gao, Jiti
23
Koopman, Siem Jan
19
Linton, Oliver
16
Kapetanios, George
15
Weidner, Martin
14
Pesaran, M. Hashem
13
Härdle, Wolfgang
12
Nielsen, Morten Ørregaard
12
Swanson, Norman R.
11
Bonhomme, Stéphane
10
Hoderlein, Stefan
10
Hsu, Yu-Chin
10
Lucas, André
10
Phillips, Peter C. B.
10
Reiß, Markus
10
Kitagawa, Toru
9
Koop, Gary
9
Sibbertsen, Philipp
9
Berg, Gerard J. van den
8
Croux, Christophe
8
Fang, Ying
8
Hafner, Christian M.
8
Huber, Florian
8
Marcellino, Massimiliano
8
Dette, Holger
7
Hansen, Christian Bailey
7
Lütkepohl, Helmut
7
Nesheim, Lars
7
Sentana, Enrique
7
Bailey, Natalia
6
Bibinger, Markus
6
Blasques, Francisco
6
Cavaliere, Giuseppe
6
Claeskens, Gerda
6
Giraitis, Liudas
6
Gong, Xiaodong
6
Hautsch, Nikolaus
6
Heckman, James J.
6
Kristensen, Dennis
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Rodney L. White Center for Financial Research
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Working papers series in theoretical and applied economics
18
CREATES research paper
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2
CEA_372Cass working paper series
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Financial Institutions Center
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NCER working paper series
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ECONIS (ZBW)
27
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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 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:
3
Penalized model averaging for high dimensional quantile regressions
Bao, Haowen
;
Cai, Zongwu
;
Sun, Yuying
-
2023
Persistent link: https://www.econbiz.de/10014280711
Saved in:
4
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:
5
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:
6
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:
7
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu
;
Liu, Xiyuan
-
2022
Persistent link: https://www.econbiz.de/10013283992
Saved in:
8
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:
9
Solving the price puzzle via a functional coefficient factor-augmented VAR model
Cai, Zongwu
;
Liu, Xiyuan
-
2021
Persistent link: https://www.econbiz.de/10012602647
Saved in:
10
Semiparametric estimation and model selection for conditional mixture copula models
Liu, Guannan
;
Long, Wei
;
Yang, Bingduo
;
Cai, Zongwu
-
2021
Persistent link: https://www.econbiz.de/10012425393
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