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subject:"Stochastischer Prozess"
~person:"Dufrénot, Gilles"
~person:"Rodriguez, Gabriel"
~subject:"Capital income"
~subject:"Volatility"
~type_genre:"Article in journal"
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Search: subject_exact:"ARFIMA-Modell"
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Stochastischer Prozess
Capital income
Volatility
ARMA model
6
ARMA-Modell
6
Volatilität
5
Time series analysis
4
Zeitreihenanalyse
4
ARCH model
3
ARCH-Modell
3
ARFIMA models
3
Exchange rate
3
Theorie
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Theory
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Aktienindex
2
Devisenmarkt
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Long memory
2
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1997-2003
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1998-2003
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CGARCH models
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Kalman filter
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Lateinamerika
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Latin America
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Latin American Forex Markets
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Latin-American stock and Forex markets volatility
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Mean reversion
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Random Level Shifts
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Article in journal
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English
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Dufrénot, Gilles
Rodriguez, Gabriel
Péguin-Feissolle, Anne
4
Yu, Jun
3
Asai, Manabu
2
Baillie, Richard
2
Balcilar, Mehmet
2
Boubaker, Heni
2
Chan, Joshua
2
Gandali Alikhani, Nadiya
2
Guégan, Dominique
2
Hwang, Soosung
2
Li, Handong
2
Liesenfeld, Roman
2
McAleer, Michael
2
Naderi, Esmaeil
2
Ojeda Cunya, Junior Alex
2
Olubusoye, Olusanya E.
2
Peiris, Shelton
2
Sibbertsen, Philipp
2
Ye, Xunyu
2
Abaoub, Ezzeddine
1
Acar Boyacioglu, Melek
1
Accioly, Victor Bello
1
Afzal, Alia
1
Ahmad, Eatzaz
1
Ahmed, Wajid Shakeel
1
Ali, Md Zulficar
1
Ali, Sheena Naz
1
Allen, David E.
1
Alptekin, Volkan
1
AlـGounmeein, Remal Shaher
1
Amiri, Ashkan
1
Archana Singh
1
Arranz, Miguel A.
1
Asaleye, Abiola John
1
Atabek Demirhan, Aslıhan
1
Aye, Goodness C.
1
Babajide, Abiola
1
Bachaya, Allah
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Computational economics
1
Economics letters
1
Journal of international financial markets, institutions & money
1
Macroeconomics and finance in emerging market economies
1
Portuguese economic journal
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
6
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1
An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components
Rodriguez, Gabriel
;
Ojeda Cunya, Junior Alex
;
Gonzáles …
- In:
Portuguese economic journal
18
(
2019
)
2
,
pp. 107-123
Persistent link: https://www.econbiz.de/10012111301
Saved in:
2
Modeling Latin-American stock and Forex markets volatility : empirical application of a model with random level shifts and genuine long memory
Rodriguez, Gabriel
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 393-420
Persistent link: https://www.econbiz.de/10011938140
Saved in:
3
An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Ojeda Cunya, Junior Alex
;
Rodriguez, Gabriel
- In:
Macroeconomics and finance in emerging market economies
9
(
2016
)
1/3
,
pp. 34-55
Persistent link: https://www.econbiz.de/10011583531
Saved in:
4
A simple fractionally integrated model with a time-varying long memory parameter d t
Boutahar, Mohamed
;
Dufrénot, Gilles
; …
- In:
Computational economics
31
(
2008
)
3
,
pp. 225-241
Persistent link: https://www.econbiz.de/10003691880
Saved in:
5
Long-memory dynamics in a SETAR model : applications to stock markets
Dufrénot, Gilles
;
Guégan, Dominique
; …
- In:
Journal of international financial markets, …
15
(
2005
)
5
,
pp. 391-406
Persistent link: https://www.econbiz.de/10003270564
Saved in:
6
Modelling squared returns using a SETAR model with long-memory dynamics
Dufrénot, Gilles
;
Guégan, Dominique
; …
- In:
Economics letters
86
(
2005
)
2
,
pp. 237-243
Persistent link: https://www.econbiz.de/10002584436
Saved in:
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