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type_genre:"Non-commercial literature"
type_genre:"Working Paper"
~isPartOf:"CREATES research paper"
~language:"eng"
~person:"Cavaliere, Giuseppe"
~person:"Fernández-Villaverde, Jesús"
~person:"Grassi, Stefano"
~person:"Violante, Francesco"
~subject:"ARCH-Modell"
~subject:"Commodity derivative"
~subject:"Faktorenanalyse"
~subject:"Share price"
~type_genre:"Amtsdruckschrift"
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ARCH-Modell
Commodity derivative
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Estimation
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Time series analysis
5
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Börsenkurs
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1961-2007
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Cavaliere, Giuseppe
Fernández-Villaverde, Jesús
Grassi, Stefano
Violante, Francesco
Bollerslev, Tim
4
Mikkelsen, Jakob Guldbæk
3
Nielsen, Morten Ørregaard
3
Silvennoinen, Annastiina
3
Teräsvirta, Timo
3
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Demetrescu, Matei
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Dolatabadi, Sepideh
1
Haldrup, Niels
1
Hall, Anthony D.
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Hautsch, Nikolaus
1
Jakobsen, Johan Stax
1
Kang, Jian
1
Kristensen, Johannes Tang
1
Kruse-Becher, Robinson
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Lange, Theis
1
Lanne, Markku
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Li, Sophia Zhengzi
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Mao, Xiuping
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Nielsen, Ole Linnemann
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Ntantamis, Christos
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Nyberg, Henri
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Osterrieder, Daniela
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Podolskij, Mark
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Posselt, Anders Merrild
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Rodríguez-Caballero, Carlos Vladimir
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CREATES research paper
Queen's Economics Department working paper
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ECONIS (ZBW)
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Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
2
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
3
Dynamics of variance risk premia, investors' sentiment and return predictability
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
-
2017
Persistent link: https://www.econbiz.de/10011624137
Saved in:
4
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
5
The pruned state-space system for non-linear DSGE models : theory and empirical applications
Andreasen, Martin Møller
;
Fernández-Villaverde, Jesús
; …
-
2013
Persistent link: https://www.econbiz.de/10009733564
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