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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Journal of econometrics"
~person:"Bu, Ruijun"
~person:"Silvennoinen, Annastiina"
~subject:"ARCH-Modell"
~subject:"Nichtparametrisches Verfahren"
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Stochastischer Prozess
Volatility
ARCH-Modell
Nichtparametrisches Verfahren
Estimation theory
7
Schätztheorie
7
ARCH model
3
Estimation
3
Nonparametric statistics
3
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3
Volatilität
3
Börsenkurs
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Correlation
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Innovation diffusion
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Deterministically varying correlation
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Identification
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Recurrent diffusion
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Bu, Ruijun
Silvennoinen, Annastiina
Linton, Oliver
16
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11
Chen, Xiaohong
10
Francq, Christian
10
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10
Florens, Jean-Pierre
9
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7
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7
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7
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Gao, Jiti
6
Lewbel, Arthur
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CREATES research paper
Journal of econometrics
Econometrics : open access journal
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
CREATES Research Paper 2008-6
1
Cambridge working papers in economics
1
Econometric reviews
1
Economic modelling
1
Handbook of financial time series
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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
Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications
Bu, Ruijun
;
Kim, Jihyun
;
Wang, Bin
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1934-1954
Persistent link: https://www.econbiz.de/10014471437
Saved in:
4
Diffusion copulas : identification and estimation
Bu, Ruijun
;
Hadri, Kaddour
;
Kristensen, Dennis
-
2018
Persistent link: https://www.econbiz.de/10011913721
Saved in:
5
Diffusion copulas : identification and estimation
Bu, Ruijun
;
Hadri, Kaddour
;
Kristensen, Dennis
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 616-643
Persistent link: https://www.econbiz.de/10012619252
Saved in:
6
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:
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
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