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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Flachaire, Emmanuel"
~person:"Fonseca, José da"
~subject:"Cointegration"
~subject:"Statistical distribution"
~type_genre:"Article in journal"
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Stochastischer Prozess
Volatility
Cointegration
Statistical distribution
Estimation
2
Estimation theory
2
Schätztheorie
2
Schätzung
2
ARCH model
1
ARCH-Modell
1
Correlation
1
Empirical Characteristic Function
1
GARCH
1
Generalized Method of Moments
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Korrelation
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Lagrange multiplier test
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Method of moments
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Momentenmethode
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Statistical test
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Statistischer Test
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Stochastic Correlation
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Stochastic process
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Time series analysis
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Volatilität
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Wishart Process
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conditional heteroskedasticity
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misspecification test
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nonlinear volatility time series
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Article in journal
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Flachaire, Emmanuel
Fonseca, José da
Li, Jing
2
Schweikert, Karsten
2
Abbara, Omar
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Anatolyev, Stanislav
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Banerjee, Anurag Narayan
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Baruník, Jozef
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Bekiros, Stelios
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Blazsek, Szabolcs
1
Bu, Ruijun
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Candelon, Bertrand
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Carnero, M. Angeles
1
Chan, Jennifer So Kuen
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Cheng, Jie
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Chevallier, Julien
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Chuffart, Thomas
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Daníelsson, Jón
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Dark, Jonathan Graeme
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De Angelis, Luca
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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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Goutte, Stéphane
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Grasselli, Martino
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Hadri, Kaddour
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Haurin, Donald R.
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Hou, Weijie
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Huang, Xiao
1
Hwu, Shih-Tang
1
Ielpo, Florian
1
Im, KyungSo
1
Jensen, Mark J.
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Jong, Robert M. de
1
Kalyvitēs, Sarantēs
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Kim, Chang-jin
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Kok Haur Ng
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
2
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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
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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