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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometric theory"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~person:"Zhang, Rongmao"
~subject:"ARCH-Modell"
~subject:"Instrumental variables"
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Volatility
ARCH-Modell
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Estimation theory
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Zhang, Rongmao
Linton, Oliver
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Chan, Ngai Hang
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Econometric theory
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Econometric reviews
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
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2
Tail index of an AR(1) model with ARCH(1) errors
Chan, Ngai Hang
;
Li, Deyuan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
29
(
2013
)
5
,
pp. 920-940
Persistent link: https://www.econbiz.de/10010248321
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