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subject:"Zeitreihenanalyse"
type_genre:"Aufsatz im Buch"
~person:"Andrikopoulos, Alexandru"
~person:"Lee, Sangyeol"
~person:"Steehouwer, Hens"
~subject:"CAPM"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
CAPM
Estimation theory
10
Schätztheorie
10
Time series analysis
6
ARCH model
3
ARCH-Modell
3
Regression analysis
3
Regressionsanalyse
3
Quantile regression
2
Statistical distribution
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Statistical test
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Statistische Verteilung
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Statistischer Test
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AGARCH models
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ARMA model
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Analysis of variance
1
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1
Autocorrelation
1
Autokorrelation
1
Beta coefficient
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Bootstrap approach
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Bootstrap-Verfahren
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CUSUM method based on score functions
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CUSUM test
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Change point test
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Diffusion limits
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Estimation
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Exchange rate
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Forecasting model
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GARCH-type models
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Andrikopoulos, Alexandru
Lee, Sangyeol
Steehouwer, Hens
Phillips, Peter C. B.
29
Leybourne, Stephen James
18
Linton, Oliver
17
Teräsvirta, Timo
17
Gao, Jiti
16
Harvey, Andrew C.
16
Johansen, Søren
16
Lütkepohl, Helmut
16
Taylor, Robert
16
Chambers, Marcus J.
13
Hassler, Uwe
13
Perron, Pierre
13
Baillie, Richard
11
Robinson, Peter M.
11
Tauchen, George Eugene
11
Xiao, Zhijie
11
Hendry, David F.
10
Kapetanios, George
10
Koop, Gary
10
McAleer, Michael
10
Zhu, Ke
10
Chan, Ngai Hang
9
Chen, Xiaohong
9
Engle, Robert F.
9
Ghysels, Eric
9
Granger, C. W. J.
9
Harvey, David I.
9
Koopman, Siem Jan
9
Li, Jia
9
Li, Qi
9
Lucas, André
9
McElroy, Tucker
9
Sentana, Enrique
9
Su, Liangjun
9
Sun, Yixiao
9
Westerlund, Joakim
9
Baltagi, Badi H.
8
Bauwens, Luc
8
Francq, Christian
8
Franses, Philip Hans
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Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
2
Robustness in econometrics
2
Application of operations research to financial markets
1
Economics letters
1
Uncertainty analysis in econometrics with applications : [This volume contains papers presented at TES 2013 - The Sixth International Conference of the Thailand Econometric Society, which is held in Chiang Mai, Thailand, during January 10th - 11th, 2013 ...]
1
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ECONIS (ZBW)
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1
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
Andrikopoulos, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Application of operations research to financial markets
,
(pp. 27-57)
.
2019
Persistent link: https://www.econbiz.de/10012157341
Saved in:
2
Structural breaks of CAPM-type market model with heteroskedasticity and quantile regression
Chen, Cathy W. S.
;
Khemmanant Khamthong
;
Lee, Sangyeol
- In:
Robustness in econometrics
,
(pp. 111-134)
.
2017
Persistent link: https://www.econbiz.de/10011801139
Saved in:
3
Monitoring parameter change for time series models with conditional heteroscedasticity
Huh, Jaewon
;
Oh, Haejune
;
Lee, Sangyeol
- In:
Economics letters
152
(
2017
),
pp. 66-70
Persistent link: https://www.econbiz.de/10011801150
Saved in:
4
Quantile forecasting of PM10 data in Korea based on time series models
Xu, Yingshi
;
Lee, Sangyeol
- In:
Robustness in econometrics
,
(pp. 587-598)
.
2017
Persistent link: https://www.econbiz.de/10011801991
Saved in:
5
Maximum entropy test for autoregressive models
Lee, Sangyeol
;
Park, Siyun
- In:
Uncertainty analysis in econometrics with applications …
,
(pp. 119-128)
.
2013
Persistent link: https://www.econbiz.de/10009711159
Saved in:
6
A frequency domain methodology for time series modelling
Steehouwer, Hens
- In:
Interest rate models, asset allocation and quantitative …
,
(pp. 280-324)
.
2010
Persistent link: https://www.econbiz.de/10003940953
Saved in:
7
A frequency domain methodology for time series modelling
Steehouwer, Hens
- In:
Interest rate models, asset allocation and quantitative …
,
(pp. 280-324)
.
2010
Persistent link: https://www.econbiz.de/10008746599
Saved in:
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