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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Alizadeh, Sassan"
~person:"Teräsvirta, Timo"
~subject:"Autocorrelation"
~subject:"Prognoseverfahren"
~type_genre:"Non-commercial literature"
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Stochastischer Prozess
Volatility
Autocorrelation
Prognoseverfahren
Estimation theory
32
Schätztheorie
32
Time series analysis
18
Zeitreihenanalyse
18
Theorie
15
Theory
15
Volatilität
10
ARCH model
8
ARCH-Modell
8
Nichtlineare Regression
6
Nonlinear regression
6
Autokorrelation
4
Börsenkurs
4
Exchange rate
4
Share price
4
Statistical test
4
Statistischer Test
4
VAR model
4
VAR-Modell
4
Wechselkurs
4
Multivariate Analyse
3
Multivariate analysis
3
Correlation
2
Estimation
2
Korrelation
2
Modellierung
2
Schätzung
2
Scientific modelling
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modelling volatility
2
smooth transition GARCH
2
1960-1994
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Australia
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Australien
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Capital income
1
Changing seasonality
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Cointegration
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Deterministically varying correlation
1
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Alizadeh, Sassan
Teräsvirta, Timo
Phillips, Peter C. B.
25
Koopman, Siem Jan
18
Swanson, Norman R.
17
Marcellino, Massimiliano
16
Koop, Gary
13
Huber, Florian
12
Diebold, Francis X.
10
Hyndman, Rob J.
10
Lucas, André
10
Reiß, Markus
10
Corradi, Valentina
9
Croux, Christophe
9
Linton, Oliver
9
Sentana, Enrique
9
Sun, Yixiao
9
Cai, Zongwu
8
Clark, Todd E.
8
Spokojnyj, Vladimir G.
8
Athanasopoulos, George
7
Blasques, Francisco
7
Dijk, Dick van
7
Härdle, Wolfgang
7
Vahid, Farshid
7
Andersen, Torben
6
Audrino, Francesco
6
Bauwens, Luc
6
Bibinger, Markus
6
Brandt, Michael W.
6
Chan, Joshua
6
Gao, Jiti
6
Gouriéroux, Christian
6
Issler, João Victor
6
Jordà, Òscar
6
Kapetanios, George
6
Küchler, Uwe
6
Rossi, Barbara
6
Christopeit, Norbert
5
Guillén, Osmani Teixeira de Carvalho
5
Hafner, Christian M.
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Rodney L. White Center for Financial Research
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ECONIS (ZBW)
14
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Comprehensive testing of linearity against the smooth transition autoregressive model
Seong, Dakyung
;
Cho, Jin Seo
;
Teräsvirta, Timo
-
2019
-
This version: August 2019
Persistent link: https://www.econbiz.de/10012316842
Saved in:
4
Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316885
Saved in:
5
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
6
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
7
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010336592
Saved in:
8
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
Saved in:
9
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
Saved in:
10
Range-based estimation of stochastic volatility models or exchange rate dynamics are more interesting than you think
Alizadeh, Sassan
;
Brandt, Michael W.
;
Diebold, Francis X.
-
2000
Persistent link: https://www.econbiz.de/10001477772
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