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subject:"Zeitreihenanalyse"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"The European journal of finance"
~subject:"ARCH-Modell"
~subject:"Regression analysis"
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Search: subject_exact:"AR(1) model"
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Zeitreihenanalyse
ARCH-Modell
Regression analysis
Autocorrelation
18
Autokorrelation
18
Capital income
6
Kapitaleinkommen
6
Time series analysis
6
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Option pricing theory
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Optionspreistheorie
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Dijk, Herman K. van
2
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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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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
Siu, Tak Kuen
1
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1
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Econometrisch Instituut <Rotterdam>
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Econometric Institute research papers
The European journal of finance
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51
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
7
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6
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ECONIS (ZBW)
10
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1
The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach
Barnett, William A.
;
Wang, Xue
;
Xu, Hai-Chuan
;
Zhou, …
- In:
The European journal of finance
29
(
2023
)
16
,
pp. 1933-1956
Persistent link: https://www.econbiz.de/10014388527
Saved in:
2
An introduction to time-varying lag autoregression
Franses, Philip Hans
-
2020
Persistent link: https://www.econbiz.de/10012216295
Saved in:
3
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
4
Forecasting implied volatility in foreign exchange markets : a functional time series approach
Kearney, Fearghal
;
Cummins, Mark
;
Murphy, Finbarr
- In:
The European journal of finance
24
(
2018
)
1/3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012244257
Saved in:
5
Bayesian near-boundary analysis in basic macroeconomic time series models
Pooter, Michiel de
;
Ravazzolo, Francesco
;
Segers, Rene
; …
-
2008
Persistent link: https://www.econbiz.de/10003754318
Saved in:
6
On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas
Garmann, Sebastian
;
Grundke, Peter
- In:
The European journal of finance
19
(
2013
)
1/2
,
pp. 75-88
Persistent link: https://www.econbiz.de/10009733297
Saved in:
7
Model uncertainty and Bayesian model averaging in vector autoregressive processes
Strachan, Rodney W.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003290434
Saved in:
8
Common large innovations across nonlinear time series
Paap, Richard
(
contributor
); …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001678726
Saved in:
9
Testing for vector autoregressive dynamics under heteroskedasticity
Hafner, Christian M.
(
contributor
); …
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001701901
Saved in:
10
Public information arrival and volatility persistence in financial markets
Janssen, Gust
- In:
The European journal of finance
10
(
2004
)
3
,
pp. 177-197
Persistent link: https://www.econbiz.de/10002093898
Saved in:
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