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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~person:"Alizadeh, Sassan"
~person:"Koopman, Siem Jan"
~person:"Teräsvirta, Timo"
~subject:"Theorie"
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Stochastischer Prozess
Volatility
Theorie
Estimation theory
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Schätztheorie
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6
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6
ARCH model
5
ARCH-Modell
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Alizadeh, Sassan
Koopman, Siem Jan
Teräsvirta, Timo
Nielsen, Morten Ørregaard
4
Kristensen, Dennis
3
Santucci de Magistris, Paolo
3
Silvennoinen, Annastiina
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CREATES research paper
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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
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:
4
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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