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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Chen, Song Xi"
~person:"Zhu, Ke"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Estimation theory
22
Schätztheorie
22
Time series analysis
12
Zeitreihenanalyse
12
ARCH model
5
ARCH-Modell
5
Statistical test
5
Statistischer Test
5
Stochastic process
5
ARMA model
4
ARMA-Modell
4
Portmanteau test
4
Heteroscedasticity
3
Heteroskedastizität
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Volatilität
3
DAR model
2
High dimensionality
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Nichtparametrisches Verfahren
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Nonparametric statistics
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QMLE
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ARCH-type model
1
ARMA models
1
Adaptive inference
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Affine term structure
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Analysis of variance
1
Anleihe
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Asymmetric power GARCH
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Asymmetry testing
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Augmented DAR model
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Autocorrelation
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Autokorrelation
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Automatic multifrequency-band test
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Bandable covariance
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Block-wise random weighting method
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Chen, Song Xi
Zhu, Ke
Koopman, Siem Jan
23
Phillips, Peter C. B.
23
Todorov, Viktor
19
Li, Jia
17
Kumar, Dilip
16
Li, Yingying
15
Tauchen, George Eugene
15
Teräsvirta, Timo
15
Maheswaran, S.
14
Brandt, Michael W.
13
Diebold, Francis X.
12
Hafner, Christian M.
12
Kim, Donggyu
12
McAleer, Michael
12
Sentana, Enrique
12
Ghysels, Eric
11
Härdle, Wolfgang
11
Lucas, André
11
Mancino, Maria Elvira
11
Reiß, Markus
11
Spokojnyj, Vladimir G.
11
Swanson, Norman R.
11
Andersen, Torben
10
Silvennoinen, Annastiina
10
Christopeit, Norbert
9
Fan, Jianqing
9
Linton, Oliver
9
Liu, Zhi
9
Mykland, Per A.
9
Rodriguez, Gabriel
9
Zakoïan, Jean-Michel
9
Alizadeh, Sassan
8
Bibinger, Markus
8
Cavaliere, Giuseppe
8
Francq, Christian
8
Hurvich, Clifford M.
8
Massmann, Michael
8
Takahashi, Akihiko
8
Wang, Yazhen
8
Bauwens, Luc
7
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Journal of econometrics
5
Econometric reviews
1
Journal of the American Statistical Association : JASA
1
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ECONIS (ZBW)
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1
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
2
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
3
Non-standard inference for augmented double autoregressive models with null volatility coefficients
Jiang, Feiyu
;
Li, Dong
;
Zhu, Ke
- In:
Journal of econometrics
215
(
2020
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012439437
Saved in:
4
Double AR model without intercept : an alternative to modeling nonstationarity and heteroscedasticity
Li, Dong
;
Shaojun, Guo
;
Zhu, Ke
- In:
Econometric reviews
38
(
2019
)
3
,
pp. 319-331
Persistent link: https://www.econbiz.de/10012181294
Saved in:
5
On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi
;
Xu, Zheng
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
Saved in:
6
Nonparametric estimation for a class of Lévy processes
Chen, Song Xi
;
Delaigle, Aurore
;
Hall, Peter
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 257-271
Persistent link: https://www.econbiz.de/10008663024
Saved in:
7
Empirical likelihood methods based on characteristic functions with applications to Lévy processes
Chan, Ngai Hang
;
Chen, Song Xi
;
Peng, Liang
;
Yu, Cindy L.
- In:
Journal of the American Statistical Association : JASA
104
(
2009
)
488
,
pp. 1621-1630
Persistent link: https://www.econbiz.de/10003993190
Saved in:
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