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subject:"Zeitreihenanalyse"
~isPartOf:"Journal of financial econometrics"
~subject:"Heteroscedasticity"
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Search: subject_exact:"Autoregressives Modell"
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Zeitreihenanalyse
Heteroscedasticity
Autocorrelation
7
Autokorrelation
7
Theorie
4
Theory
4
Time series analysis
4
Börsenkurs
3
Estimation
3
Estimation theory
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Schätztheorie
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Schätzung
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Share price
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Volatility
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Volatilität
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ARCH model
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ARCH-Modell
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Forecasting model
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Prognoseverfahren
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Statistical distribution
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Statistische Verteilung
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Stochastic process
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Stochastischer Prozess
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autocorrelation
2
AR-GARCH
1
Aktienmarkt
1
Analysis of variance
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Bubbles
1
Einheitswurzeltest
1
Factor analysis
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Faktorenanalyse
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GARCH-AR
1
Heteroskedastizität
1
Induktive Statistik
1
Kalman filter
1
Method of moments
1
Momentenmethode
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Nichtparametrisches Verfahren
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Calzolari, Giorgio
1
Halbleib, Roxana
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Jach, Agnieszka
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Kurozumi, Eiji
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Martin, Ian
1
McElroy, Tucker
1
Skrobotov, Anton
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Tsarev, Alexey
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Zagidullina, Aygul
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Journal of financial econometrics
Journal of econometrics
50
Economics letters
25
Econometric reviews
23
Econometric theory
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Discussion paper / Tinbergen Institute
18
International journal of forecasting
16
Cowles Foundation discussion paper
13
Journal of forecasting
13
Applied economics letters
11
The econometrics journal
10
CREATES research paper
9
Cowles Foundation Discussion Paper
9
Energy economics
9
CESifo working papers
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
7
Journal of applied econometrics
7
Applied economics
6
Journal of empirical finance
6
SSE EFI working paper series in economics and finance
6
Working paper
6
Working paper / Department of Econometrics and Business Statistics, Monash University
6
Discussion papers / Helsinki Center of Economic Research : discussion paper
5
Discussion papers of interdisciplinary research project 373
5
Econometric Institute research papers
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Econometrics : open access journal
5
Economic modelling
5
Oxford bulletin of economics and statistics
5
CEIS Working Paper
4
CESifo Working Paper Series
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Cambridge working papers in economics
4
Discussion paper / Department of Economics, University of California San Diego
4
Discussion papers in economics
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Finance research letters
4
International journal of economics and financial issues : IJEFI
4
International review of financial analysis
4
Quantitative finance
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ECONIS (ZBW)
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Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
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2
A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
Saved in:
3
On the autocorrelation of the stock market
Martin, Ian
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 39-52
Persistent link: https://www.econbiz.de/10012504290
Saved in:
4
Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker
;
Jach, Agnieszka
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
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