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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Hafner, Christian M."
~person:"Teräsvirta, Timo"
~subject:"ARCH model"
~subject:"Scientific modelling"
~subject:"Theorie"
~type_genre:"Arbeitspapier"
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Stochastischer Prozess
Volatility
ARCH model
Scientific modelling
Theorie
Estimation theory
39
Schätztheorie
39
ARCH-Modell
17
Volatilität
13
Time series analysis
12
Zeitreihenanalyse
12
Correlation
7
Korrelation
7
Theory
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Estimation
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Nichtlineare Regression
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Nonlinear regression
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VAR model
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VAR-Modell
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Börsenkurs
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Exchange rate
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Linear algebra
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Modellierung
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Nichtparametrisches Verfahren
3
Nonparametric statistics
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Portfolio selection
3
Portfolio-Management
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Correlation Matrix
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Alizadeh, Sassan
Hafner, Christian M.
Teräsvirta, Timo
Härdle, Wolfgang
20
Phillips, Peter C. B.
20
Pesaran, M. Hashem
18
Heckman, James J.
16
Koopman, Siem Jan
16
Swanson, Norman R.
16
Dette, Holger
13
Reiß, Markus
13
Nielsen, Morten Ørregaard
12
Leon-Gonzalez, Roberto
11
Andrews, Donald W. K.
10
Nesheim, Lars
10
Audrino, Francesco
9
Chernozhukov, Victor
9
Feng, Yuanhua
9
Imbens, Guido
9
Koop, Gary
9
Linton, Oliver
9
Abberger, Klaus
8
Kapetanios, George
8
Lucas, André
8
Lugosi, Gábor
8
Newey, Whitney K.
8
Sentana, Enrique
8
Sibbertsen, Philipp
8
Spokojnyj, Vladimir G.
8
Bibinger, Markus
7
Diebold, Francis X.
7
Rahbek, Anders
7
Shephard, Neil G.
7
Yu, Jun
7
Beran, Jan
6
Blasques, Francisco
6
Bonhomme, Stéphane
6
Brandt, Michael W.
6
Cai, Zongwu
6
Cavaliere, Giuseppe
6
Chen, Xiaohong
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Rodney L. White Center for Financial Research
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Econometrisch Instituut <Rotterdam>
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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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
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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
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
Saved in:
4
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
5
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
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6
The “wrong skewness” problem in stochastic frontier models : a new approach
Hafner, Christian M.
;
Manner, Hans
;
Simar, Léopold
-
2015
Persistent link: https://www.econbiz.de/10011289979
Saved in:
7
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:
8
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:
9
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:
10
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
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