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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometric reviews"
~person:"Alizadeh, Sassan"
~person:"Lucas, André"
~person:"Teräsvirta, Timo"
~subject:"ARCH model"
~subject:"Scientific modelling"
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Stochastischer Prozess
Volatility
ARCH model
Scientific modelling
Estimation theory
8
Schätztheorie
8
Time series analysis
7
Zeitreihenanalyse
7
Nichtlineare Regression
4
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3
Autokorrelation
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Estimation
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misspecification testing
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Macroeconomic time series
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Model selection
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Alizadeh, Sassan
Lucas, André
Teräsvirta, Timo
Maasoumi, Esfandiar
3
Simar, Léopold
3
Zhang, Xinyu
3
McAleer, Michael
2
Medeiros, Marcelo C.
2
Amado, Cristina
1
Antoine, Bertille
1
Bao, Yong
1
Bayarri, M. J.
1
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1
Berger, James O.
1
Bermudez, P. de Zea
1
Blasques, Francisco
1
Boswijk, Herman Peter
1
Brownlees, Christian
1
Cai, Jun
1
Cai, Yuzhi
1
Cai, Zongwu
1
Catani, Paul
1
Cavaliere, Giuseppe
1
Chen, Qiang
1
Chen, Yi-ting
1
Chua, Chew Lian
1
Cuesta, José Ignacio
1
Davis, Jonathan M. V.
1
De Angelis, Luca
1
Djogbenou, Antoine A.
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Dong, Chaohua
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Dovonon, Prosper
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Drukker, David M.
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Fermanian, Jean-David
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1
Fornari, Fabio
1
Galbraith, John W.
1
Gao, Jiti
1
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1
Gu, Wentao
1
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Econometric reviews
Discussion paper / Tinbergen Institute
8
CREATES research paper
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Econometrics : open access journal
2
International journal of forecasting
2
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CEA_372Cass working paper series
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Handbook of financial time series
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ECONIS (ZBW)
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1
A stochastic recurrence equations approach for score driven correlation models
Blasques, Francisco
;
Lucas, André
;
Silde, Erkki
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 166-181
Persistent link: https://www.econbiz.de/10012038166
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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
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