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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of risk and financial management : JRFM"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Li, Jing"
~subject:"Cointegration"
~subject:"Statistical distribution"
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Stochastischer Prozess
Volatility
Cointegration
Statistical distribution
Estimation theory
2
Schätztheorie
2
Time series analysis
2
Zeitreihenanalyse
2
ARCH
1
ARCH model
1
ARCH-Modell
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Autocorrelation
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Autokorrelation
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Band Pass filter
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Estimation
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GARCH
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Hodrick-Prescott filter
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Schätzung
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Simulation
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State space model
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Stochastic process
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Volatilität
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Zustandsraummodell
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flexible Fourier form
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moving average filter
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simulation
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spurious almost-integration
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threshold autoregression
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Li, Jing
Nadarajah, Saralees
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Schweikert, Karsten
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Abbara, Omar
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Afify, Ahmed Z.
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Altun, Emrah
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Anatolyev, Stanislav
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Armeanu, Daniel Ștefan
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Banerjee, Anurag Narayan
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Baruník, Jozef
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Bekiros, Stelios
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Bu, Ruijun
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Dark, Jonathan Graeme
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De Angelis, Luca
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Dewick, Paul R.
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Doko Tchatoka, Firmin
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D´Andrea, Amanda
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Eliasson, Ann-Charlotte
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Enders, Walter
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Ericsson, Neil R.
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Escribano, Álvaro
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Fard, Farzad Alavi
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Fernandez, Rodrigo Nobre
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Flachaire, Emmanuel
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Journal of risk and financial management : JRFM
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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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
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2
Effects of filtering data on testing asymmetry in threshold autoregressive models
Li, Jing
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
5
,
pp. 549-565
Persistent link: https://www.econbiz.de/10011649160
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