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subject:"Volatility"
subject:"Yield curve"
~isPartOf:"CREATES research paper"
~subject:"Korrelation"
~subject:"Portfolio selection"
~type_genre:"Bibliografie enthalten"
~type_genre:"Thesis"
~type_genre:"Working Paper"
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Volatility
Yield curve
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Portfolio selection
Estimation
79
Schätzung
79
Theorie
32
Theory
32
Time series analysis
25
Zeitreihenanalyse
25
Capital income
23
Kapitaleinkommen
23
Estimation theory
18
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18
Volatilität
18
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8
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VAR model
6
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Teräsvirta, Timo
4
Andreasen, Martin Møller
3
Silvennoinen, Annastiina
3
Aslanidis, Nektarios
2
Bollerslev, Tim
2
Casas, Isabel
2
Christensen, Bent Jesper
2
Kang, Jian
2
Nielsen, Morten Ørregaard
2
Todorov, Viktor
2
Veliyev, Bezirgen
2
Abate, Girum Dagnachew
1
Anselin, Luc
1
Bolko, Anine E.
1
Callot, Laurent
1
Cavaliere, Giuseppe
1
Christensen, Kim
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
Hall, Anthony D.
1
He, Changli
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
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1
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Lunde, Asger
1
Meldrum, Andrew
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CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
150
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106
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94
CESifo working papers
84
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75
Finance and economics discussion series
57
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52
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51
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48
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15
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ECONIS (ZBW)
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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
Betting on mean reversion in the VIX? : evidence from ETP flows
Nielsen, Ole Linnemann
;
Posselt, Anders Merrild
-
2022
-
This version: September 1, 2021
Persistent link: https://www.econbiz.de/10012816394
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
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4
The New Keynesian model and bond yields
Andreasen, Martin Møller
-
2021
Persistent link: https://www.econbiz.de/10012433979
Saved in:
5
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Saved in:
6
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:
7
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
8
Bond risk premiums at the zero lower bound
Andreasen, Martin Møller
;
Jørgensen, Kasper
;
Meldrum, …
-
2019
Persistent link: https://www.econbiz.de/10012063987
Saved in:
9
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
10
Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli
;
Kang, Jian
;
Teräsvirta, Timo
;
Zhang, Shuhua
-
2019
Persistent link: https://www.econbiz.de/10012316892
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