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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"free"
~person:"Alizadeh, Sassan"
~person:"Teräsvirta, Timo"
~subject:"Scientific modelling"
~subject:"Time series analysis"
~type_genre:"Arbeitspapier"
~type_genre:"Non-commercial literature"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Scientific modelling
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Estimation theory
19
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19
Volatilität
9
Zeitreihenanalyse
9
ARCH model
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ARCH-Modell
8
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modelling volatility
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Alizadeh, Sassan
Teräsvirta, Timo
Gao, Jiti
36
Koopman, Siem Jan
28
Phillips, Peter C. B.
25
Nielsen, Morten Ørregaard
22
Johansen, Søren
19
Lütkepohl, Helmut
19
Sibbertsen, Philipp
18
Linton, Oliver
15
Lucas, André
14
Peng, Bin
13
Hyndman, Rob J.
12
Kapetanios, George
12
Croux, Christophe
11
Nielsen, Bent
11
Swanson, Norman R.
11
Blasques, Francisco
10
Cai, Zongwu
10
Dong, Chaohua
10
Härdle, Wolfgang
10
Koop, Gary
10
Li, Degui
10
Reiß, Markus
10
Sentana, Enrique
10
Brakel, Jan A. van den
9
Cavaliere, Giuseppe
9
Martin, Gael M.
9
Schlicht, Ekkehart
9
Taylor, Robert
9
Bauwens, Luc
8
Bibinger, Markus
8
Chen, Xiaohong
8
Gouriéroux, Christian
8
Kristensen, Dennis
8
Pesaran, M. Hashem
8
Winker, Peter
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Chan, Joshua
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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
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
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:
8
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
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
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
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