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subject:"Volatilität"
type_genre:"Working Paper"
~isPartOf:"CESifo working papers"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Working papers / Rodney L. White Center for Financial Research"
~person:"Bauwens, Luc"
~person:"Hafner, Christian M."
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Volatilität
Estimation theory
15
Schätztheorie
15
ARCH model
6
ARCH-Modell
6
Correlation
6
Korrelation
6
Linear algebra
4
Lineare Algebra
4
Volatility
4
Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
3
Analysis of variance
2
Hadamard exponential matrix
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Multivariate Analyse
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Multivariate analysis
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Stochastic process
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Stochastischer Prozess
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Time series analysis
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Bayes-Statistik
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Correlation matrix
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Dynamic conditional correlations
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Estimation
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Forecasting
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GARCH
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Innovation diffusion
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Innovationsdiffusion
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Kronecker product
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Markov chain
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Markov-Kette
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Matrix logarithm
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Modellierung
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Multiarray data
1
Multivariate GARCH
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Multivariate HEAVY
1
Portfolio choice
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Bauwens, Luc
Hafner, Christian M.
Brandt, Michael W.
3
Alizadeh, Sassan
2
Diebold, Francis X.
2
Kadlec, Gregory B.
2
Preminger, Arie
2
Launov, Andrey
1
Mittnik, Stefan
1
Otranto, Edoardo
1
Posch, Olaf
1
Robinzonov, Nikolay
1
Santa-Clara, Pedro
1
Wohlrabe, Klaus
1
Wälde, Klaus
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Xu, Yongdeng
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CESifo working papers
CORE discussion papers : DP
Working papers / Rodney L. White Center for Financial Research
CORE discussion paper : DP
1
Discussion papers of interdisciplinary research project 373
1
SFB 649 discussion paper
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ECONIS (ZBW)
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
2
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
3
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
4
Deciding between GARCH and stochastic volatility via strong decision rules
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003329726
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