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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Abbara, Omar"
~person:"Carnero, M. Angeles"
~person:"Daníelsson, Jón"
~person:"Escribano, Álvaro"
~subject:"Cointegration"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Cointegration
Statistical distribution
Estimation theory
4
Schätztheorie
4
ARCH model
3
ARCH-Modell
3
Time series analysis
3
Volatilität
3
Zeitreihenanalyse
3
Forecasting model
2
Prognoseverfahren
2
Stochastic process
2
AVGARCH
1
Aktienindex
1
Heteroscedasticity
1
Heteroskedastizität
1
Maximum likelihood estimation
1
Maximum-Likelihood-Schätzung
1
QMLE
1
Risikomaß
1
Risk measure
1
Robust statistics
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Robustes Verfahren
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Simulation
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Statistische Verteilung
1
Stock index
1
TGARCH
1
conditional heteroscedasticity
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dynamic conditional score (DCS)
1
expected return
1
generalized autoregressive score (GAS)
1
maximum likelihood (ML) conditions for score-driven models
1
mixtures
1
non-Gaussian errors
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robust estimators
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value-at-risk
1
volatility forecasting
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Abbara, Omar
Carnero, M. Angeles
Daníelsson, Jón
Escribano, Álvaro
Li, Jing
2
Schweikert, Karsten
2
Anatolyev, Stanislav
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bekiros, Stelios
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Candelon, Bertrand
1
Chan, Jennifer So Kuen
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Dark, Jonathan Graeme
1
De Angelis, Luca
1
Eliasson, Ann-Charlotte
1
Enders, Walter
1
Ericsson, Neil R.
1
Flachaire, Emmanuel
1
Fonseca, José da
1
Goutte, Stéphane
1
Grasselli, Martino
1
Hadri, Kaddour
1
Haurin, Donald R.
1
Hou, Weijie
1
Huang, Xiao
1
Hwu, Shih-Tang
1
Ielpo, Florian
1
Im, KyungSo
1
Jensen, Mark J.
1
Jong, Robert M. de
1
Kalyvitēs, Sarantēs
1
Kim, Chang-jin
1
Kok Haur Ng
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1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
2
Annales d'économie et de statistique
1
Journal of empirical finance
1
Revista Brasileira de Finanças : RBFin
1
SERIEs : Journal of the Spanish Economic Association
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
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ECONIS (ZBW)
4
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Outliers and misleading leverage effect in asymmetric GARCH-type models
Carnero, M. Angeles
;
Pérez, Ana
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012437834
Saved in:
4
Estimation of the stochastic volatility models by simulated maximum likelihood : C++ code
Daníelsson, Jón
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
1
(
1996
)
1
,
pp. 39-34
Persistent link: https://www.econbiz.de/10001769603
Saved in:
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