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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Cointegration"
~subject:"Estimation"
~subject:"Maximum likelihood estimation"
~subject:"Statistical distribution"
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Stochastischer Prozess
Volatility
Cointegration
Estimation
Maximum likelihood estimation
Statistical distribution
Estimation theory
103
Schätztheorie
103
Time series analysis
50
Zeitreihenanalyse
50
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
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14
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cointegration
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Statistische Verteilung
7
Structural break
7
Strukturbruch
7
VAR model
7
VAR-Modell
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Enders, Walter
2
Lee, Junsoo
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Li, Jing
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Schweikert, Karsten
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1
Anatolyev, Stanislav
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Byoung Hark Yoo
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1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
459
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
194
Economics letters
186
Econometric reviews
122
Discussion paper / Tinbergen Institute
101
Econometric theory
94
Applied economics letters
78
Economic modelling
76
CEMMAP working papers / Centre for Microdata Methods and Practice
75
The econometrics journal
70
Discussion paper series / IZA
68
NBER Working Paper
67
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
63
Applied economics
61
Econometrics : open access journal
61
Insurance / Mathematics & economics
59
Journal of the American Statistical Association : JASA
59
NBER working paper series
56
Working paper / Department of Econometrics and Business Statistics, Monash University
55
CREATES research paper
54
International journal of forecasting
51
European journal of operational research : EJOR
48
Journal of applied econometrics
47
Working paper
47
Cowles Foundation discussion paper
44
Quantitative economics : QE ; journal of the Econometric Society
43
CESifo working papers
42
Working paper / National Bureau of Economic Research, Inc.
42
Journal of banking & finance
41
Computational economics
40
Discussion paper / Center for Economic Research, Tilburg University
39
Discussion papers of interdisciplinary research project 373
39
Journal of empirical finance
39
IZA Discussion Paper
38
Discussion paper
36
Empirical economics : a quarterly journal of the Institute for Advanced Studies
36
Journal of forecasting
36
Discussion papers / CEPR
35
SFB 649 discussion paper
35
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ECONIS (ZBW)
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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
Fast maximum likelihood estimation of parameters for square root and Bessel processes
Fergusson, Kevin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 143-170
Persistent link: https://www.econbiz.de/10012657679
Saved in:
3
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:
4
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
5
Time-specific average estimation of dynamic panel regressions
Chu, Ba
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
4
,
pp. 581-616
Persistent link: https://www.econbiz.de/10013453781
Saved in:
6
Choosing between identification schemes in noisy-news models
Chan, Joshua
;
Eisenstat, Eric
;
Koop, Gary
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 99-136
Persistent link: https://www.econbiz.de/10013334632
Saved in:
7
Buffered vector error-correction models : an application to the U.S. Treasury bond rates
Lu, Renjie
;
Yu, Philip L. H.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 267-287
Persistent link: https://www.econbiz.de/10012806530
Saved in:
8
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
Saved in:
9
Finding correct elasticities in log-linear and exponential models allowing heteroskedasticity
Lee, Myoung-jae
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 81-91
Persistent link: https://www.econbiz.de/10012594174
Saved in:
10
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
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