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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:"Jensen, Mark J."
~subject:"Cointegration"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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Stochastischer Prozess
Volatility
Cointegration
Statistical distribution
Estimation theory
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Schätztheorie
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Time series analysis
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Zeitreihenanalyse
3
ARCH model
2
ARCH-Modell
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Robust statistics
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Robustes Verfahren
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Volatilität
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conditional heteroscedasticity
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infinite variance
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long-memory
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Abbara, Omar
Carnero, M. Angeles
Jensen, Mark J.
Li, Jing
2
Schweikert, Karsten
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Anatolyev, Stanislav
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Banerjee, Anurag Narayan
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Baruník, Jozef
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Enders, Walter
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Ericsson, Neil R.
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Energy economics
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)
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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
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2
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:
3
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
Saved in:
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