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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:"Enders, Walter"
~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
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Schätztheorie
4
Estimation
3
Schätzung
3
ARCH model
2
ARCH-Modell
2
GARCH
2
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2
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USA
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Wishart Process
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conditional heteroskedasticity
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flexible Fourier form
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misspecification test
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nonlinear volatility time series
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Enders, Walter
Flachaire, Emmanuel
Fonseca, José da
Tsionas, Efthymios G.
3
Heidergott, Bernd
2
Li, Jing
2
Schweikert, Karsten
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Abbara, Omar
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Adcock, C. J.
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Anatolyev, Stanislav
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Brandão, Luiz Eduardo Teixeira
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Bu, Ruijun
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Candelon, Bertrand
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Carnero, M. Angeles
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Cave, Joshua
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Chan, Jennifer So Kuen
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Chan, Joshua C. C.
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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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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)
3
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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:
2
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
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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