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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometric reviews"
~person:"Alizadeh, Sassan"
~person:"Hansen, Peter Reinhard"
~person:"Nishiyama, Yoshihiko"
~person:"Teräsvirta, Timo"
~subject:"Autokorrelation"
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Stochastischer Prozess
Volatility
Autokorrelation
Estimation theory
8
Schätztheorie
8
Time series analysis
5
Volatilität
5
Zeitreihenanalyse
5
ARCH model
3
ARCH-Modell
3
Nichtlineare Regression
3
Nonlinear regression
3
Statistical test
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Statistischer Test
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Autocorrelation
2
Capital income
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Constant conditional correlation
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Correlation
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Estimation
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2000
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Analysis of variance
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Artificial neural network
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Conditional heteroskedasticity
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Dynamic conditional correlation
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Japan
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Alizadeh, Sassan
Hansen, Peter Reinhard
Nishiyama, Yoshihiko
Teräsvirta, Timo
Maasoumi, Esfandiar
3
Baltagi, Badi H.
2
Bao, Yong
2
Blasques, Francisco
2
Jin, Fei
2
Koopman, Siem Jan
2
Lee, Lung-fei
2
Liu, Xiaodong
2
Lucas, André
2
McAleer, Michael
2
Simar, Léopold
2
Sun, Yiguo
2
Amado, Cristina
1
Bartolucci, Francesco
1
Bellio, R.
1
Benkwitz, Alexander
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Billé, Anna Gloria
1
Boswijk, Herman Peter
1
Brownlees, Christian
1
Brännäs, Kurt
1
Cai, Jun
1
Cai, Yuzhi
1
Cai, Zongwu
1
Catani, Paul
1
Cavaliere, Giuseppe
1
Chen, Bin
1
Chen, Qiang
1
Cho, Jin Seo
1
Davidson, Russell
1
De Angelis, Luca
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Demetrescu, Matei
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Deng, Ying
1
Dong, Chaohua
1
Drukker, David M.
1
Egger, Peter
1
Fernandes, Marcelo
1
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Econometric reviews
CREATES research paper
7
Econometrics : open access journal
2
Working papers / Rodney L. White Center for Financial Research
2
CEA_372Cass working paper series
1
Discussion paper / Department of Economics, University of California San Diego
1
Discussion paper / Tinbergen Institute
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Essays in honor of Joon Y. Park : econometric theory
1
Financial Institutions Center
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Handbook of economic forecasting ; 1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
- In:
Econometric reviews
41
(
2022
)
8
,
pp. 966-984
Persistent link: https://www.econbiz.de/10013364922
Saved in:
2
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
Saved in:
3
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:
4
Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Kock, Anders Bredahl
;
Teräsvirta, Timo
- In:
Econometric reviews
35
(
2016
)
8/10
,
pp. 1753-1779
Persistent link: https://www.econbiz.de/10011592391
Saved in:
5
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:
6
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
Saved in:
7
Nonparametric estimation methods of integrated multivariate volatilities
Hoshikawa, Toshiya
;
Nagai, Keiji
;
Kanatani, Taro
; …
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 112-138
Persistent link: https://www.econbiz.de/10003761218
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