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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~person:"Creel, Michael D."
~person:"Silvennoinen, Annastiina"
~person:"Taylor, Robert"
~subject:"Nichtparametrisches Verfahren"
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Stochastischer Prozess
Volatility
Nichtparametrisches Verfahren
Estimation theory
9
Schätztheorie
9
Time series analysis
6
Zeitreihenanalyse
6
Volatilität
5
ARCH model
4
ARCH-Modell
4
Estimation
4
Schätzung
4
Heteroscedasticity
3
Heteroskedastizität
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Börsenkurs
2
Correlation
2
Korrelation
2
Multivariate Analyse
2
Multivariate analysis
2
Share price
2
Statistical test
2
Statistischer Test
2
ARMA model
1
ARMA-Modell
1
Australia
1
Australien
1
Commodity derivative
1
Commodity price
1
Deterministically varying correlation
1
Fractional integration
1
Lagrange multiplier testing principle
1
Modellierung
1
Nonparametric statistics
1
Rohstoffderivat
1
Rohstoffpreis
1
Scientific modelling
1
Statistical distribution
1
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English
6
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Creel, Michael D.
Silvennoinen, Annastiina
Taylor, Robert
Kristensen, Dennis
6
Cattaneo, Matias D.
4
Jansson, Michael
4
Nielsen, Morten Ørregaard
4
Teräsvirta, Timo
4
Crump, Richard K.
3
Kanaya, Shin
3
Andersen, Torben
2
Barndorff-Nielsen, Ole E.
2
Bennedsen, Mikkel
2
Lunde, Asger
2
Pakkanen, Mikko S.
2
Rossi, Eduardo
2
Santucci de Magistris, Paolo
2
Amado, Cristina
1
Bu, Ruijun
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Christensen, Bent Jesper
1
Corcuera, José Manual
1
Demetrescum, Matei
1
Dobrev, Dobrislav
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Gao, Jiti
1
Gijbels, Irène
1
Guégan, Dominique
1
Hadri, Kaddour
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hounyo, Ulrich
1
Iacone, Fabrizio
1
Jakobsen, Johan Stax
1
Kang, Jian
1
Kruse, Robinson
1
Li, Degui
1
Neri, Luca
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CREATES research paper
Econometric reviews
2
Econometrics : open access journal
2
Journal of econometrics
2
Queen's Economics Department working paper
2
CREATES Research Paper 2008-6
1
Econometric theory
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
NCER working paper series
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The econometrics journal
1
Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
6
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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
Semiparametric tests for the order of integration in the possible presence of level breaks
Iacone, Fabrizio
;
Nielsen, Morten Ørregaard
;
Taylor, Robert
-
2021
Persistent link: https://www.econbiz.de/10012434016
Saved in:
3
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:
4
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:
5
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
6
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
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