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subject:"United States"
subject:"Volatility"
~person:"Engle, Robert F."
~subject:"ARCH model"
~type_genre:"Non-commercial literature"
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Engle, Robert F.
Audrino, Francesco
12
Hafner, Christian M.
11
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11
Linton, Oliver
10
Diebold, Francis X.
9
Rahbek, Anders
9
Teräsvirta, Timo
9
Zakoïan, Jean-Michel
9
Francq, Christian
8
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8
Sentana, Enrique
8
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8
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8
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7
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7
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6
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6
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6
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6
Dijk, Dick van
6
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6
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6
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6
Taylor, Robert
6
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6
Zaffaroni, Paolo
6
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5
Bibinger, Markus
5
Daníelsson, Jón
5
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5
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5
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5
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1
Modelling volatility cycles : the (MF)2 GARCH model
Conrad, Christian
;
Engle, Robert F.
-
2021
-
This draft: March 14, 2021
Persistent link: https://www.econbiz.de/10012488645
Saved in:
2
Fitting vast dimensional time-varying covariance models
Engle, Robert F.
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2008
Persistent link: https://www.econbiz.de/10003807446
Saved in:
3
Fitting vast dimensional time-varying covariance models
Engle, Robert F.
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2008
Persistent link: https://www.econbiz.de/10003818564
Saved in:
4
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10001618448
Saved in:
5
Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH
Engle, Robert F.
;
Sheppard, Kevin
-
2001
Persistent link: https://www.econbiz.de/10001620854
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
The econometrics of ultra-high frequency data
Engle, Robert F.
-
1996
Persistent link: https://www.econbiz.de/10000613076
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