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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometric reviews"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Alizadeh, Sassan"
~person:"Hansen, Peter Reinhard"
~person:"Teräsvirta, Timo"
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Stochastischer Prozess
Volatility
Estimation theory
8
Schätztheorie
8
Time series analysis
7
Zeitreihenanalyse
7
Volatilität
5
ARCH model
4
ARCH-Modell
4
Modellierung
3
Nichtlineare Regression
3
Nonlinear regression
3
Scientific modelling
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Statistical test
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Statistischer Test
3
Autocorrelation
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Autokorrelation
2
Capital income
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Constant conditional correlation
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Correlation
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Estimation
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Kapitaleinkommen
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Korrelation
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Schätzung
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Theorie
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Theory
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misspecification testing
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modeling volatility
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Analysis of variance
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Artificial neural network
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Börsenkurs
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Conditional heteroskedasticity
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Dynamic conditional correlation
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Forecast comparison
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Forecasting model
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LM test
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Model selection
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Multivariate GARCH
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Alizadeh, Sassan
Hansen, Peter Reinhard
Teräsvirta, Timo
Maasoumi, Esfandiar
3
Li, Jing
2
McAleer, Michael
2
Silvennoinen, Annastiina
2
Abbara, Omar
1
Amado, Cristina
1
Anatolyev, Stanislav
1
Bao, Yong
1
Baruník, Jozef
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Blasques, Francisco
1
Blazsek, Szabolcs
1
Boswijk, Herman Peter
1
Brownlees, Christian
1
Bu, Ruijun
1
Cai, Yuzhi
1
Cai, Zongwu
1
Catani, Paul
1
Cavaliere, Giuseppe
1
Chan, Jennifer So Kuen
1
Chen, Qiang
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Daníelsson, Jón
1
De Angelis, Luca
1
Dong, Chaohua
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Escribano, Álvaro
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Flachaire, Emmanuel
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Fonseca, José da
1
Fornari, Fabio
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Galbraith, John W.
1
Gao, Jiti
1
Goutte, Stéphane
1
Grasselli, Martino
1
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Econometric reviews
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
CREATES research paper
4
Econometrics : open access journal
2
Working papers / Rodney L. White Center for Financial Research
2
CEA_372Cass working paper series
1
Financial Institutions Center
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Handbook of financial time series
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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NBER Working Paper
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Specification and testing of multiplicative time-varying GARCH models with applications
Amado, Cristina
;
Teräsvirta, Timo
- In:
Econometric reviews
36
(
2017
)
4
,
pp. 421-446
Persistent link: https://www.econbiz.de/10011795239
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2
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 599-621
Persistent link: https://www.econbiz.de/10011795292
Saved in:
3
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 347-364
Persistent link: https://www.econbiz.de/10011649097
Saved in:
4
Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
Saved in:
5
Moving average-based estimators of integrated variance
Hansen, Peter Reinhard
;
Large, Jeremy
;
Lunde, Asger
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 79-111
Persistent link: https://www.econbiz.de/10003761216
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