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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Teräsvirta, Timo"
~subject:"Nonlinear regression"
~subject:"Schätzung"
~subject:"Scientific modelling"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Nonlinear regression
Schätzung
Scientific modelling
Estimation theory
19
Schätztheorie
19
Time series analysis
9
Volatilität
9
Zeitreihenanalyse
9
ARCH model
8
ARCH-Modell
8
Nichtlineare Regression
6
Autocorrelation
4
Autokorrelation
4
Statistical test
4
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VAR-Modell
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Exchange rate
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Multivariate Analyse
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Multivariate analysis
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Theorie
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Theory
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Correlation
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Estimation
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Korrelation
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Modellierung
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modelling volatility
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smooth transition GARCH
2
Australia
1
Australien
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Changing seasonality
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15
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Alizadeh, Sassan
Teräsvirta, Timo
Gao, Jiti
24
Koopman, Siem Jan
21
Cai, Zongwu
18
Linton, Oliver
17
Kapetanios, George
15
Phillips, Peter C. B.
15
Weidner, Martin
15
Pesaran, M. Hashem
13
Härdle, Wolfgang
12
Lucas, André
12
Nielsen, Morten Ørregaard
12
Hoderlein, Stefan
11
Sibbertsen, Philipp
11
Swanson, Norman R.
11
Bonhomme, Stéphane
10
Hsu, Yu-Chin
10
Reiß, Markus
10
Kitagawa, Toru
9
Koop, Gary
9
Berg, Gerard J. van den
8
Croux, Christophe
8
Fang, Ying
8
Hafner, Christian M.
8
Huber, Florian
8
Marcellino, Massimiliano
8
Blasques, Francisco
7
Dette, Holger
7
Hansen, Christian Bailey
7
Lütkepohl, Helmut
7
Nesheim, Lars
7
Sentana, Enrique
7
Arai, Yoichi
6
Bailey, Natalia
6
Bibinger, Markus
6
Cavaliere, Giuseppe
6
Claeskens, Gerda
6
Giraitis, Liudas
6
Gong, Xiaodong
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Hautsch, Nikolaus
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Rodney L. White Center for Financial Research
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ECONIS (ZBW)
15
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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
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
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:
6
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:
7
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010484181
Saved in:
8
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:
9
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:
10
Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10009751844
Saved in:
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