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subject:"Volatilität"
type_genre:"Working Paper"
~person:"Corsi, Fulvio"
~person:"Daníelsson, Jón"
~person:"Fernández-Villaverde, Jesús"
~person:"Gouriéroux, Christian"
~person:"Teräsvirta, Timo"
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Search: subject_exact:"Estimation theory"
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Volatilität
Estimation theory
102
Schätztheorie
102
Theorie
42
Theory
42
Time series analysis
36
Zeitreihenanalyse
36
Volatility
21
Estimation
17
Schätzung
16
ARCH model
9
ARCH-Modell
9
Risikomanagement
8
Risk management
8
VAR model
8
VAR-Modell
8
Bayes-Statistik
7
Bayesian inference
7
Dynamic equilibrium
6
Dynamisches Gleichgewicht
6
Nichtlineare Regression
6
Nonlinear regression
6
Stochastic process
6
Stochastischer Prozess
6
Autocorrelation
5
Autokorrelation
5
Börsenkurs
5
Core
5
Correlation
5
Korrelation
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
Monte Carlo simulation
5
Monte-Carlo-Simulation
5
Risikomaß
5
Risk measure
5
Share price
5
Bayesian estimation
4
Capital income
4
Causality analysis
4
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Free
12
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2
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Book / Working Paper
21
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Working Paper
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21
Graue Literatur
21
Non-commercial literature
21
Article in journal
16
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16
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21
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Corsi, Fulvio
Daníelsson, Jón
Fernández-Villaverde, Jesús
Gouriéroux, Christian
Teräsvirta, Timo
Koopman, Siem Jan
9
Brandt, Michael W.
6
Härdle, Wolfgang
6
Lucas, André
6
Bibinger, Markus
5
Croux, Christophe
5
Diebold, Francis X.
5
Hafner, Christian M.
5
Reiß, Markus
5
Rodriguez, Gabriel
5
Spokojnyj, Vladimir G.
5
Alizadeh, Sassan
4
Blasques, Francisco
4
Craig, Ben R.
4
Dijk, Dick van
4
Hautsch, Nikolaus
4
Keller, Joachim G.
4
Leon-Gonzalez, Roberto
4
Malec, Peter
4
Sentana, Enrique
4
Sibbertsen, Philipp
4
Silvennoinen, Annastiina
4
Sluis, Pieter J. van der
4
Swanson, Norman R.
4
Tauchen, George Eugene
4
Todorov, Viktor
4
Andersen, Torben
3
Bos, Charles S.
3
Chan, Joshua
3
Franses, Philip Hans
3
Gather, Ursula
3
Gelper, Sarah
3
Gorgi, Paolo
3
Herwartz, Helmut
3
Jasiak, Joann
3
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CREATES research paper
4
Discussion paper / Tinbergen Institute
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Série des documents de travail
2
CEA_372Cass working paper series
1
Discussion paper / Centre for Economic Policy Research
1
Discussion paper / Tinbergen Institute / Tinbergen Institute
1
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1
Documentos de trabajo / Fundación de Estudios de Economía Aplicada
1
Global COE Hi-Stat discussion paper series
1
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1
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1
Research paper series / Swiss Finance Institute
1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
TRACE discussion papers / Tinbergen Institute
1
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ECONIS (ZBW)
21
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
4
A flexible state-space model with application to stochastic volatility
Gouriéroux, Christian
;
Lu, Yang
-
2016
Persistent link: https://www.econbiz.de/10012196330
Saved in:
5
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
6
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011777143
Saved in:
7
Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús
;
Guerrón-Quintana, Pablo A.
-
2014
Persistent link: https://www.econbiz.de/10011661491
Saved in:
8
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
Saved in:
9
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
Saved in:
10
Volatility forecasting : the jumps do matter
Corsi, Fulvio
;
Pirino, Davide
;
Renò, Roberto
-
2009
Persistent link: https://www.econbiz.de/10003854418
Saved in:
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