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subject:"Zeitreihenanalyse"
~isPartOf:"Applied economics"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~isPartOf:"Econometric reviews"
~isPartOf:"International journal of forecasting"
~person:"Blazsek, Szabolcs"
~person:"Kim, Jong-Min"
~subject:"Kapitaleinkommen"
~subject:"Monte-Carlo-Simulation"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Kapitaleinkommen
Monte-Carlo-Simulation
ARCH model
5
ARCH-Modell
5
Estimation theory
5
Schätztheorie
5
Time series analysis
4
Beta-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model
2
Directional dependence
2
Volatility
2
Volatilität
2
quasi-autoregressive (QAR) model
2
Börsenkurs
1
Capital income
1
Correlation
1
DCC-GARCH
1
Dynamic conditional score (DCS)
1
Dynamic conditional score (DCS) models
1
Estimation
1
Financial market
1
Finanzmarkt
1
Forecasting model
1
Korrelation
1
Multivariate Verteilung
1
Multivariate distribution
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Prognoseverfahren
1
Regression analysis
1
Regressionsanalyse
1
Schätzung
1
Share price
1
beta regression model
1
copula
1
dynamic conditional correlation
1
forecasting
1
functional ARCH model
1
generalized autoregressive score (GAS)
1
quasi-vector autoregressive (QVAR) model
1
scaling parameters of the conditional score function
1
score-driven seasonality
1
time-varying parameter
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Blazsek, Szabolcs
Kim, Jong-Min
Granger, C. W. J.
8
Teräsvirta, Timo
8
Engle, Robert F.
7
White, Halbert
6
Hendry, David F.
4
Hyndman, Rob J.
4
Lucas, André
4
Baltagi, Badi H.
3
Blasques, Francisco
3
Kapetanios, George
3
Kock, Anders Bredahl
3
Koopman, Siem Jan
3
Panagiotelis, Anastasios
3
Athanasopoulos, George
2
Bohn Nielsen, Heino
2
Boswijk, Herman Peter
2
Brännäs, Kurt
2
Clements, Adam
2
Dagum, Estela Bee
2
Davidson, Russell
2
Deo, Rohit S.
2
Dong, Chaohua
2
Dufour, Jean-Marie
2
Espasa Terrades, Antoni
2
Gao, Jiti
2
Haldrup, Niels
2
Harvey, Andrew C.
2
Hong, Yongmiao
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Hsiao, Cheng
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Hyung, Namwon
2
Juodis, Artūras
2
Kilian, Lutz
2
Liang, Zhongwen
2
Licht, Adrian
2
Lunde, Asger
2
Lütkepohl, Helmut
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2
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Applied economics
Discussion paper / Department of Economics, University of California San Diego
Econometric reviews
International journal of forecasting
Economics letters
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
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1
Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
2
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
3
Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
52
(
2020
)
11
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
Saved in:
4
Linear time-varying regression with a DCC-GARCH model for volatility
Kim, Jong-Min
;
Jung, Hojin
;
Qin, Li
- In:
Applied economics
48
(
2016
)
16/18
,
pp. 1573-1582
Persistent link: https://www.econbiz.de/10011456689
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