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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Zhu, Ke"
~subject:"Nichtparametrisches Verfahren"
~subject:"Statistical test"
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Stochastischer Prozess
Volatility
Nichtparametrisches Verfahren
Statistical test
Estimation theory
8
Schätztheorie
8
Time series analysis
5
Zeitreihenanalyse
5
ARCH model
4
ARCH-Modell
4
Portmanteau test
3
Statistischer Test
2
Stochastic process
2
Volatilität
2
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1
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1
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Asymmetric power GARCH
1
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1
Augmented DAR model
1
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1
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Block-wise random weighting method
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Bootstrap-Verfahren
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Cointegration
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Conditional heteroscedasticity
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Conditional quantile
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1
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GARCH model
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Generalized exponentially weighted moving average quantile model
1
Generalized quasi-maximum likelihood estimator
1
Heavy-tailed innovation
1
Heavy-tailedness
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Heteroscedasticity
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Heteroskedastizität
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Zhu, Ke
Linton, Oliver
16
Cai, Zongwu
10
Chen, Xiaohong
10
Robinson, Peter M.
10
Todorov, Viktor
10
Florens, Jean-Pierre
9
Li, Qi
9
Su, Liangjun
9
Chen, Songnian
8
Phillips, Peter C. B.
8
Gao, Jiti
7
Park, Joon Y.
7
Simar, Léopold
7
Tauchen, George Eugene
7
White, Halbert
7
Andersen, Torben
6
Fan, Yanqin
6
Francq, Christian
6
Hsiao, Cheng
6
Lewbel, Arthur
6
Li, Degui
6
Li, Jia
6
Sun, Yiguo
6
Sun, Yixiao
6
Zakoïan, Jean-Michel
6
Andrews, Donald W. K.
5
Aït-Sahalia, Yacine
5
Breunig, Christoph
5
Horowitz, Joel
5
Kim, Donggyu
5
Kristensen, Dennis
5
Lavergne, Pascal
5
Li, Yingying
5
Sasaki, Yuya
5
Varneskov, Rasmus Tangsgaard
5
Xu, Ke-Li
5
Das, Mitali
4
Dong, Chaohua
4
Escanciano, Juan Carlos
4
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Journal of econometrics
Econometric reviews
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
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1
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
2
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
3
Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 306-329
Persistent link: https://www.econbiz.de/10013275393
Saved in:
4
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
5
Model checks for nonlinear cointegrating regression
Wang, Qiying
;
Wu, Dongsheng
;
Zhu, Ke
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 261-284
Persistent link: https://www.econbiz.de/10012116349
Saved in:
6
Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
Chen, Min
;
Zhu, Ke
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 313-320
Persistent link: https://www.econbiz.de/10011504541
Saved in:
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