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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Hafner, Christian M."
~person:"Teräsvirta, Timo"
~subject:"Autokorrelation"
~subject:"Scientific modelling"
~subject:"Theorie"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Autokorrelation
Scientific modelling
Theorie
Estimation theory
39
Schätztheorie
39
ARCH model
17
ARCH-Modell
17
Volatilität
13
Time series analysis
12
Zeitreihenanalyse
12
Correlation
7
Korrelation
7
Theory
7
Estimation
6
Nichtlineare Regression
6
Nonlinear regression
6
Schätzung
6
Multivariate Analyse
5
Multivariate analysis
5
Autocorrelation
4
Statistical test
4
Statistischer Test
4
VAR model
4
VAR-Modell
4
Börsenkurs
3
Exchange rate
3
Linear algebra
3
Lineare Algebra
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Modellierung
3
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Portfolio selection
3
Portfolio-Management
3
Share price
3
Wechselkurs
3
Correlation Matrix
2
Kronecker Product
2
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21
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Arbeitspapier
Graue Literatur
21
Non-commercial literature
21
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21
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2
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2
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English
21
Author
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Alizadeh, Sassan
Hafner, Christian M.
Teräsvirta, Timo
Phillips, Peter C. B.
28
Härdle, Wolfgang
20
Pesaran, M. Hashem
20
Koopman, Siem Jan
17
Heckman, James J.
16
Swanson, Norman R.
16
Dette, Holger
15
Reiß, Markus
13
Andrews, Donald W. K.
12
Leon-Gonzalez, Roberto
11
Lucas, André
10
Nesheim, Lars
10
Sun, Yixiao
10
Cai, Zongwu
9
Chernozhukov, Victor
9
Feng, Yuanhua
9
Imbens, Guido
9
Kapetanios, George
9
Koop, Gary
9
Abberger, Klaus
8
Diebold, Francis X.
8
Kilian, Lutz
8
Lugosi, Gábor
8
Newey, Whitney K.
8
Sentana, Enrique
8
Sibbertsen, Philipp
8
Spokojnyj, Vladimir G.
8
Bibinger, Markus
7
Blasques, Francisco
7
Nielsen, Morten Ørregaard
7
Yu, Jun
7
Bauwens, Luc
6
Beran, Jan
6
Bonhomme, Stéphane
6
Brandt, Michael W.
6
Fernández-Val, Iván
6
Hautsch, Nikolaus
6
Kristensen, Dennis
6
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Rodney L. White Center for Financial Research
2
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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CREATES research paper
7
CORE discussion papers : DP
3
CORE discussion paper : DP
2
Working papers / Rodney L. White Center for Financial Research
2
CEA_372Cass working paper series
1
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1
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Discussion papers of interdisciplinary research project 373
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Econometric Institute research papers
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ECONIS (ZBW)
21
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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
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
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
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010336592
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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