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type:"article"
type_genre:"Article in journal"
~isPartOf:"Central European journal of economic modelling and econometrics"
~isPartOf:"Journal of mathematical finance"
~subject:"ARCH model"
~subject:"Estimation"
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Search: subject_exact:"Estimation theory"
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ARCH model
Estimation
Estimation theory
40
Schätztheorie
40
Time series analysis
14
Zeitreihenanalyse
14
Schätzung
12
ARCH-Modell
10
Volatility
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17
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Huptas, Roman
2
Irungu, Irene W.
2
Mwita, Peter N.
2
Waititu, Antony G.
2
Adewuyi, Adejumo Wahab
1
Badaoui, Mohammed
1
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1
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Siziba, Simiso
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Central European journal of economic modelling and econometrics
Journal of mathematical finance
Journal of econometrics
252
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
144
Economics letters
123
Econometric reviews
67
Econometric theory
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Economic modelling
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Applied economics letters
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Applied economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Journal of applied econometrics
41
The econometrics journal
40
Journal of banking & finance
33
Journal of empirical finance
32
International journal of forecasting
29
Quantitative economics : QE ; journal of the Econometric Society
29
Econometrics : open access journal
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Journal of forecasting
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of the American Statistical Association : JASA
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International journal of economics and financial issues : IJEFI
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Computational economics
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Finance research letters
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Journal of financial econometrics
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The review of economics and statistics
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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
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Energy economics
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Insurance / Mathematics & economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of economic dynamics & control
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Journal of risk and financial management : JRFM
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European journal of operational research : EJOR
18
Journal of risk
17
The North American journal of economics and finance : a journal of financial economics studies
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Quantitative finance
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The empirical economics letters : a monthly international journal of economics
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The European journal of finance
13
The journal of real estate finance and economics
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American journal of agricultural economics
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Journal of international money and finance
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ECONIS (ZBW)
17
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1
Bayesian estimation of capital stock and depreciation in the production function framework
Boratyński, Jakub
;
Osiewalski, Jacek
- In:
Central European journal of economic modelling and …
13
(
2021
)
4
,
pp. 455-486
Persistent link: https://www.econbiz.de/10012879093
Saved in:
2
New approach in dealing with the non-negativity of the conditional variance in the estimation of GARCH model
Settar, Abdeljalil
;
Fatmi, Nadia Idrissi
;
Badaoui, Mohammed
- In:
Central European journal of economic modelling and …
13
(
2021
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10012439109
Saved in:
3
Testing for long-range dependence in financial time series
Mangat, Manveer Kaur
;
Reschenhofer, Erhard
- In:
Central European journal of economic modelling and …
11
(
2019
)
2
,
pp. 93-106
Persistent link: https://www.econbiz.de/10012294575
Saved in:
4
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
5
Consistency of the model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 266-282
Persistent link: https://www.econbiz.de/10011874721
Saved in:
6
Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
Saved in:
7
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
8
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
9
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
10
Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
Saved in:
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