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subject:"Volatility"
~isPartOf:"The econometrics journal"
~subject:"ARCH-Modell"
~subject:"Monte Carlo simulation"
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Volatility
ARCH-Modell
Monte Carlo simulation
Estimation theory
268
Schätztheorie
268
Nichtparametrisches Verfahren
59
Nonparametric statistics
59
Regression analysis
55
Regressionsanalyse
55
Panel
39
Panel study
39
Time series analysis
37
Zeitreihenanalyse
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Statistical test
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Statistischer Test
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Theorie
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Theory
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Estimation
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Schätzung
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15
Bootstrap-Verfahren
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Instrumental variables
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Statistical distribution
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ARCH model
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Autocorrelation
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Autokorrelation
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Heteroscedasticity
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Method of moments
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Monte-Carlo-Simulation
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Čížek, Pavel
2
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1
Arvanitis, Stelios
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Baltagi, Badi H.
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Bansal, Prateek
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1
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1
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1
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The econometrics journal
Journal of econometrics
174
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
Economics letters
59
Econometric theory
56
Discussion paper / Tinbergen Institute
50
Econometric reviews
48
Computational economics
29
Economic modelling
29
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
CREATES research paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Applied economics
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Applied economics letters
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Finance research letters
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International journal of forecasting
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NBER Working Paper
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Econometrics : open access journal
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Journal of forecasting
19
Quantitative finance
18
Journal of banking & finance
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
International journal of theoretical and applied finance
16
Journal of risk and financial management : JRFM
16
European journal of operational research : EJOR
15
Journal of risk
15
NBER working paper series
15
Working paper / Department of Econometrics and Business Statistics, Monash University
15
Journal of economic dynamics & control
14
The North American journal of economics and finance : a journal of financial economics studies
14
CEMMAP working papers / Centre for Microdata Methods and Practice
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
International journal of economics and financial issues : IJEFI
13
Journal of time series econometrics
13
Journal of mathematical finance
12
Journal of the American Statistical Association : JASA
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Nonparametric bootstrap tests for independence of generalized errors
Du, Zaichao
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 55-83
Persistent link: https://www.econbiz.de/10011487609
Saved in:
12
A class of indirect inference estimators : higher-order asymptotics and approximate bias correction
Arvanitis, Stelios
;
Dēmos, Antōnēs A.
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 200-241
Persistent link: https://www.econbiz.de/10011378482
Saved in:
13
Testing for structural change under non-stationary variances
Xu, Ke-Li
- In:
The econometrics journal
18
(
2015
)
2
,
pp. 274-305
Persistent link: https://www.econbiz.de/10011378499
Saved in:
14
Specification tests for nonlinear dynamic models
Kheifets, Igor L.
- In:
The econometrics journal
18
(
2015
)
1
,
pp. 67-94
Persistent link: https://www.econbiz.de/10011345998
Saved in:
15
Estimation of state-space models with endogenous Markov regime-switching parameters
Kang, Kyu Ho
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 56-82
Persistent link: https://www.econbiz.de/10010498759
Saved in:
16
Multivariate variance targeting in the BEKK–GARCH model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
- In:
The econometrics journal
17
(
2014
)
1
,
pp. 24-55
Persistent link: https://www.econbiz.de/10010498760
Saved in:
17
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Veraart, Almut E. D.
- In:
The econometrics journal
14
(
2011
)
2
,
pp. 204-240
Persistent link: https://www.econbiz.de/10009381879
Saved in:
18
Causality and forecasting in temporally aggregated multivariate GARCH processes
Hafner, Christian M.
- In:
The econometrics journal
12
(
2009
)
1
,
pp. 127-146
Persistent link: https://www.econbiz.de/10003841978
Saved in:
19
Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models
Čížek, Pavel
;
Härdle, Wolfgang
;
Spokojnyj, Vladimir G.
- In:
The econometrics journal
12
(
2009
)
2
,
pp. 248-271
Persistent link: https://www.econbiz.de/10003875660
Saved in:
20
Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise
;
Dufour, Jean-Marie
- In:
The econometrics journal
12
(
2009
),
pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
Saved in:
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