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type_genre:"Non-commercial literature"
type_genre:"Working Paper"
~isPartOf:"CREATES research paper"
~language:"eng"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Bond"
~subject:"Factor analysis"
~subject:"Faktorenanalyse"
~subject:"Share price"
~subject:"Volatility"
~type_genre:"Amtsdruckschrift"
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ARCH model
ARCH-Modell
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Factor analysis
Faktorenanalyse
Share price
Volatility
Estimation
79
Schätzung
79
Theorie
32
Theory
32
Time series analysis
25
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25
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23
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23
Estimation theory
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Bollerslev, Tim
5
Andreasen, Martin Møller
4
Todorov, Viktor
4
Mikkelsen, Jakob Guldbæk
3
Nielsen, Morten Ørregaard
3
Silvennoinen, Annastiina
3
Teräsvirta, Timo
3
Cavaliere, Giuseppe
2
Christensen, Bent Jesper
2
Ergemen, Yunus Emre
2
Hillebrand, Eric
2
Kristensen, Johannes Tang
2
Taylor, Robert
2
Urga, Giovanni
2
Veliyev, Bezirgen
2
Violante, Francesco
2
Abate, Girum Dagnachew
1
Anselin, Luc
1
Bolko, Anine E.
1
Callot, Laurent
1
Casas, Isabel
1
Christensen, Kim
1
Demetrescu, Matei
1
Dolatabadi, Sepideh
1
Eriksen, Jonas Nygaard
1
Fernández-Villaverde, Jesús
1
Floor Brix, Anne
1
Grassi, Stefano
1
Haldrup, Niels
1
Hall, Anthony D.
1
Hautsch, Nikolaus
1
Jakobsen, Johan Stax
1
Jørgensen, Kasper
1
Kanaya, Shin
1
Kang, Jian
1
Kjær, Mads Markvart
1
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1
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CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
178
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111
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100
CESifo working papers
97
Discussion paper / Tinbergen Institute
85
Discussion paper
50
SFB 649 discussion paper
49
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48
CFS working paper series
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41
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34
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
29
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28
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ECONIS (ZBW)
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Betting on mean reversion in the VIX? : evidence from ETP flows
Nielsen, Ole Linnemann
;
Posselt, Anders Merrild
-
2022
-
This version: September 1, 2021
Persistent link: https://www.econbiz.de/10012816394
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
4
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
5
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
6
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Saved in:
7
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
8
The New Keynesian model and bond yields
Andreasen, Martin Møller
-
2021
Persistent link: https://www.econbiz.de/10012433979
Saved in:
9
Exchange rates and macroeconomic fundamentals : evidence of instabilities from time-varying factor loadings
Hillebrand, Eric
;
Mikkelsen, Jakob Guldbæk
;
Spreng, Lars
; …
-
2020
Persistent link: https://www.econbiz.de/10012433967
Saved in:
10
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
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