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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Flachaire, Emmanuel"
~person:"Fonseca, José da"
~subject:"Cointegration"
~subject:"Method of moments"
~subject:"Statistical distribution"
~type_genre:"Article in journal"
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Stochastischer Prozess
Volatility
Cointegration
Method of moments
Statistical distribution
Estimation
2
Estimation theory
2
Schätztheorie
2
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ARCH model
1
ARCH-Modell
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Correlation
1
Empirical Characteristic Function
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GARCH
1
Generalized Method of Moments
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Korrelation
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Lagrange multiplier test
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Volatilität
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conditional heteroskedasticity
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misspecification test
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Flachaire, Emmanuel
Fonseca, José da
Phillips, Peter C. B.
26
Kumar, Dilip
16
Maheswaran, S.
14
Lee, Lung-fei
13
Li, Jia
12
Tauchen, George Eugene
12
Todorov, Viktor
12
Andrews, Donald W. K.
11
Renault, Eric
11
Linton, Oliver
10
Han, Chirok
9
Paruolo, Paolo
9
Teräsvirta, Timo
9
Tsionas, Efthymios G.
9
Baltagi, Badi H.
8
Boswijk, Herman Peter
8
Francq, Christian
8
Hall, Alastair R.
8
Hsiao, Cheng
8
Liu, Zhi
8
Nadarajah, Saralees
8
Park, Joon Y.
8
Parmeter, Christopher F.
8
Ramírez, Miguel D.
8
Su, Liangjun
8
Wagner, Martin
8
Wu, Ximing
8
Andersen, Torben
7
Cavaliere, Giuseppe
7
Fan, Jianqing
7
Gao, Jiti
7
Jin, Fei
7
Johansen, Søren
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
Sarafidis, Vasilis
7
Taylor, Robert
7
Zakoïan, Jean-Michel
7
Bao, Yong
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
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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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