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type_genre:"No longer published / No longer aquired"
~accessRights:"restricted"
~subject:"ARCH-Modell"
~type_genre:"Article in journal"
~type_genre:"Sammelwerk"
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Search: subject_exact:"Estimation theory"
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ARCH-Modell
Estimation theory
4,677
Schätztheorie
4,677
Estimation
1,137
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1,116
Time series analysis
892
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Francq, Christian
9
Kumar, Dilip
8
Ardia, David
5
Sucarrat, Genaro
5
Zakoïan, Jean-Michel
5
Kim, Jong-Min
4
Li, Dong
4
Ling, Shiqing
4
Rahbek, Anders
4
Zhu, Ke
4
Arvanitis, Stelios
3
Bauwens, Luc
3
Blazsek, Szabolcs
3
Carnero, M. Angeles
3
Escribano, Álvaro
3
Hafner, Christian M.
3
Jung, Hojin
3
Kim, Donggyu
3
Li, Guodong
3
Licht, Adrian
3
Luger, Richard
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Lütkepohl, Helmut
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Otranto, Edoardo
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Teräsvirta, Timo
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Ñíguez, Trino-Manuel
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2
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2
Bluteau, Keven
2
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2
Cavaliere, Giuseppe
2
Chlebus, Marcin
2
De Luca, Giovanni
2
Engle, Robert F.
2
Escobar, Marcos
2
Gozgor, Giray
2
Hoogerheide, Lennart
2
Irungu, Irene W.
2
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Journal of econometrics
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Economics letters
13
International journal of forecasting
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Econometric reviews
11
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11
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10
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9
The North American journal of economics and finance : a journal of financial economics studies
9
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8
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7
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7
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6
The journal of risk model validation
6
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4
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The European journal of finance
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Journal of international trade & commerce
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Research in international business and finance
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Review of Pacific Basin financial markets and policies
2
South Asian journal of macroeconomics and public finance
2
The journal of prediction markets
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
2
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ECONIS (ZBW)
285
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
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:
3
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
4
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
Cai, Jun
;
Horrace, William C.
;
Lee, Yoonseok
- In:
Econometric reviews
43
(
2024
)
5
,
pp. 238-268
Persistent link: https://www.econbiz.de/10014551521
Saved in:
5
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
6
Improving financial volatility nowcasts
Kruse-Becher, Robinson
;
Liu, Yuze
- In:
The European journal of finance
30
(
2024
)
2
,
pp. 101-126
Persistent link: https://www.econbiz.de/10014547345
Saved in:
7
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
8
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
9
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
10
An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
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