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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Alizadeh, Sassan"
~person:"Teräsvirta, Timo"
~subject:"Scientific modelling"
~subject:"Zeitreihenanalyse"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Scientific modelling
Zeitreihenanalyse
Estimation theory
31
Schätztheorie
31
Time series analysis
18
Theorie
14
Theory
14
Volatilität
10
ARCH model
8
ARCH-Modell
8
Nichtlineare Regression
6
Nonlinear regression
6
Autocorrelation
4
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
modelling volatility
2
smooth transition GARCH
2
1960-1994
1
Australia
1
Australien
1
Capital income
1
Changing seasonality
1
Cointegration
1
Deterministically varying correlation
1
Deutschland
1
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25
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Arbeitspapier
Graue Literatur
25
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25
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17
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English
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Alizadeh, Sassan
Teräsvirta, Timo
Gao, Jiti
36
Koopman, Siem Jan
32
Phillips, Peter C. B.
32
Nielsen, Morten Ørregaard
24
Johansen, Søren
22
Maravall Herrero, Agustín
22
Franses, Philip Hans
21
Lütkepohl, Helmut
21
Sibbertsen, Philipp
21
Lucas, André
18
Härdle, Wolfgang
17
Swanson, Norman R.
17
Gouriéroux, Christian
16
Kapetanios, George
16
Sentana, Enrique
16
Peng, Bin
14
Hyndman, Rob J.
13
McAleer, Michael
13
Pesaran, M. Hashem
13
Bauwens, Luc
12
Koop, Gary
12
Spokojnyj, Vladimir G.
12
Croux, Christophe
11
Gómez, Víctor
11
Linton, Oliver
11
Ooms, Marius
11
Blasques, Francisco
10
Cai, Zongwu
10
Marcellino, Massimiliano
10
Nielsen, Bent
10
Reiß, Markus
10
Beran, Jan
9
Brännäs, Kurt
9
Cavaliere, Giuseppe
9
Chen, Xiaohong
9
Diebold, Francis X.
9
Dong, Chaohua
9
Fiorentini, Gabriele
9
Kristensen, Dennis
9
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Ekonomiska forskningsinstitutet <Stockholm>
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Rodney L. White Center for Financial Research
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CREATES research paper
8
Discussion paper / Tinbergen Institute
4
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3
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2
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1
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ECONIS (ZBW)
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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
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
Saved in:
8
Linearity and misspecification tests for vector smooth transition regression models
Teräsvirta, Timo
;
Yang, Yukai
-
2014
Persistent link: https://www.econbiz.de/10010250617
Saved in:
9
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:
10
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
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