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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Journal of financial economics"
~person:"Engle, Robert F."
~subject:"Measurement"
~subject:"Prognoseverfahren"
~subject:"Systemic risk"
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Time series analysis
United States
Measurement
Prognoseverfahren
Systemic risk
Estimation
15
Schätzung
15
Theorie
7
Theory
7
USA
6
Börsenkurs
5
Option pricing theory
5
Optionspreistheorie
5
Share price
5
ARCH model
4
ARCH-Modell
4
Capital income
4
Forecasting model
4
Kapitaleinkommen
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Volatility
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1990-1991
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Estimation theory
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1992-1996
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Autokorrelation
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Behavioural finance
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Engle, Robert F.
Bali, Turan G.
4
Garcia, René
4
Granger, C. W. J.
4
Timmermann, Allan
4
Almeida, Caio
3
Ardison, Kym
3
Audrino, Francesco
3
Bollerslev, Tim
3
Lo, Andrew W.
3
Moskowitz, Tobias J.
3
Nagel, Stefan
3
Scaillet, Olivier
3
Todorov, Viktor
3
Trojani, Fabio
3
Vicente, Jose
3
Bai, Jennie
2
Bandi, Federico M.
2
Booth, James R.
2
Brown, Stephen J.
2
Campbell, John Y.
2
Dobrev, Dobrislav
2
Frazzini, Andrea
2
Ghysels, Eric
2
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2
Hong, Harrison G.
2
Huang, Shiyang
2
Jacobs, Kris
2
Kane, Alex
2
Kelly, Bryan T.
2
Kimmel, Robert
2
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2
Lanne, Markku
2
Lin, Tse-Chun
2
Malmendier, Ulrike
2
Narayan, Paresh Kumar
2
Noh, Jaesun
2
Okou, Cédric
2
Owyang, Michael T.
2
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Discussion paper / Department of Economics, University of California San Diego
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial economics
Working paper / National Bureau of Economic Research, Inc.
9
NBER Working Paper
3
NBER working paper series
3
Discussion paper / Centre for Economic Policy Research
2
Journal of monetary economics
2
The journal of finance : the journal of the American Finance Association
2
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Forecasting volatility in the financial markets
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of economic literature
1
Journal of financial markets
1
Review of derivatives research
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The review of financial studies
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ECONIS (ZBW)
12
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1
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
2
Empirical pricing kernels
Rosenberg, Joshua V.
;
Engle, Robert F.
- In:
Journal of financial economics
64
(
2002
)
3
,
pp. 341-372
Persistent link: https://www.econbiz.de/10001687813
Saved in:
3
Impacts of trades in an error-correction model of quote prices
Engle, Robert F.
;
Patton, Andrew J.
-
2000
Persistent link: https://www.econbiz.de/10001541189
Saved in:
4
Time and the price impact of a trade
Dufour, Alfonso
;
Engle, Robert F.
-
1999
Persistent link: https://www.econbiz.de/10001395161
Saved in:
5
CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
-
1999
Persistent link: https://www.econbiz.de/10001441337
Saved in:
6
Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model
Russell, Jeffrey R.
;
Engle, Robert F.
-
1998
Persistent link: https://www.econbiz.de/10000988764
Saved in:
7
Measuring, forecasting and explaining time varying liquidity in the stock market
Engle, Robert F.
;
Lange, Joe
-
1997
Persistent link: https://www.econbiz.de/10000996023
Saved in:
8
Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model
Engle, Robert F.
;
Russell, Jeffrey R.
-
1995
Persistent link: https://www.econbiz.de/10000929607
Saved in:
9
Forecasting volatility and option prices of the S&P 500 index
Noh, Jaesun
;
Engle, Robert F.
;
Kane, Alex
-
1994
-
Rev
Persistent link: https://www.econbiz.de/10000891511
Saved in:
10
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.
;
Kane, Alex
;
Noh, Jaesun
-
1993
Persistent link: https://www.econbiz.de/10000877913
Saved in:
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