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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~person:"Campbell, John Y."
~person:"Engle, Robert F."
~person:"Kapetanios, George"
~person:"Miller, Stephen M."
~subject:"Capital income"
~subject:"EU countries"
~subject:"EU-Staaten"
~subject:"Option pricing theory"
~subject:"Theorie"
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Time series analysis
United States
Capital income
EU countries
EU-Staaten
Option pricing theory
Theorie
Estimation
13
Schätzung
13
Theory
6
USA
5
Börsenkurs
4
Forecasting model
4
Optionspreistheorie
4
Prognoseverfahren
4
Share price
4
Volatility
4
Volatilität
4
1990-1991
3
ARCH model
3
ARCH-Modell
3
Zeitreihenanalyse
3
Aktienmarkt
2
Estimation theory
2
Handelsvolumen der Börse
2
Hedging
2
Kapitaleinkommen
2
Schätztheorie
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Stock market
2
Trading volume
2
Aktienindex
1
Autocorrelation
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Autokorrelation
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Black-Scholes model
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Black-Scholes-Modell
1
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1
CAPM
1
Cointegration
1
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Arbeitspapier
5
Graue Literatur
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Non-commercial literature
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Working Paper
5
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English
12
Author
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Campbell, John Y.
Engle, Robert F.
Kapetanios, George
Miller, Stephen M.
Granger, C. W. J.
5
Timmermann, Allan
5
Carson, Richard T.
2
Hamilton, James D.
2
Kane, Alex
2
Noh, Jaesun
2
Owyang, Michael T.
2
Pesaran, M. Hashem
2
Ramey, Garey
2
Ramey, Valerie A.
2
Rosenberg, Joshua V.
2
Russell, Jeffrey R.
2
Sullivan, Ryan
2
White, Halbert
2
Alberini, Anna
1
Antonovics, Kate
1
Barth, Marvin J.
1
Deb, Partha
1
Den Haan, Wouter J.
1
Dufour, Alfonso
1
Elliott, Graham
1
Enders, Walter
1
Engsted, Tom
1
Francis, Neville
1
Gallo, Giampiero M.
1
Haldrup, Niels
1
Holzer, Harry J.
1
Huang, Bwo-nung
1
Hyung, Namwon
1
Itō, Takatoshi
1
Jeon, Yongil
1
Kanninen, Barbara J.
1
Lange, Joe
1
Lee, Gary G. J.
1
Lubrano, Michel
1
MacKinnon, James G.
1
Manganelli, Simone
1
Mitchell, Robert C.
1
Patton, Andrew J.
1
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Discussion paper / Department of Economics, University of California San Diego
Working papers / University of Connecticut, Department of Economics
25
Working paper / National Bureau of Economic Research, Inc.
21
NBER working paper series
13
NBER Working Paper
9
Discussion paper / Centre for Economic Policy Research
7
Working paper
7
Discussion paper series / Harvard Institute of Economic Research
4
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
4
CAMA working paper series
3
CESifo working papers
3
Journal of financial economics
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
3
The journal of finance : the journal of the American Finance Association
3
Working papers / Bank of England
3
Cambridge working papers in economics
2
Economics letters
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Journal of econometrics
2
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2
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2
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2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
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1
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1
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1
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1
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1
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1
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1
Eastern economic journal
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Energy economics
1
Forecasting volatility in the financial markets
1
Georgetown McDonough School of Business Research Paper
1
Georgetown McDonough School of Business Research Paper 2012-16
1
Handbook of macroeconomics ; Vol. 1C
1
IZA Discussion Paper
1
International journal of forecasting
1
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ECONIS (ZBW)
12
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1
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:
2
Time and the price impact of a trade
Dufour, Alfonso
;
Engle, Robert F.
-
1999
Persistent link: https://www.econbiz.de/10001395161
Saved in:
3
CAViaR : conditional autoregressive value at risk by regression quantiles
Engle, Robert F.
;
Manganelli, Simone
-
1999
Persistent link: https://www.econbiz.de/10001441337
Saved in:
4
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:
5
Option hedging using empirical pricing kernels
Rosenberg, Joshua V.
;
Engle, Robert F.
-
1997
Persistent link: https://www.econbiz.de/10000970980
Saved in:
6
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:
7
GARCH gamma
Engle, Robert F.
;
Rosenberg, Joshua V.
-
1995
Persistent link: https://www.econbiz.de/10000915837
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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