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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Beasley, John E."
~person:"Flachaire, Emmanuel"
~person:"Fonseca, José da"
~subject:"Cointegration"
~subject:"Method of moments"
~subject:"Statistical distribution"
~type_genre:"Article in journal"
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Stochastischer Prozess
Volatility
Cointegration
Method of moments
Statistical distribution
Estimation theory
3
Schätztheorie
3
Estimation
2
Schätzung
2
ARCH model
1
ARCH-Modell
1
Analysis of variance
1
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1
Empirical Characteristic Function
1
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1
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Generalized Method of Moments
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Lagrange multiplier test
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Volatilität
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Wishart Process
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conditional heteroskedasticity
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misspecification test
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nonlinear volatility time series
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Beasley, John E.
Flachaire, Emmanuel
Fonseca, José da
Tsionas, Efthymios G.
3
Heidergott, Bernd
2
Li, Jing
2
Schweikert, Karsten
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Brandão, Luiz Eduardo Teixeira
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Bu, Ruijun
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Carnero, M. Angeles
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Chaudhuri, Kausik
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Chevallier, Julien
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Chuffart, Thomas
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Crook, Jonathan N.
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Daníelsson, Jón
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Dark, Jonathan Graeme
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European journal of operational research : EJOR
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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Quantitative portfolio selection : using density forecasting to find consistent portfolios
Meade, Nigel
;
Beasley, John E.
;
Adcock, C. J.
- In:
European journal of operational research : EJOR
288
(
2021
)
3
,
pp. 1053-1067
Persistent link: https://www.econbiz.de/10012387456
Saved in:
2
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
3
Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
3
,
pp. 253-289
Persistent link: https://www.econbiz.de/10010384289
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