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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:"Faktorenanalyse"
~subject:"Share price"
~subject:"VAR model"
~subject:"Volatility"
~type_genre:"Amtsdruckschrift"
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ARCH model
ARCH-Modell
Faktorenanalyse
Share price
VAR model
Volatility
Estimation
79
Schätzung
79
Theorie
32
Theory
32
Time series analysis
25
Zeitreihenanalyse
25
Capital income
23
Kapitaleinkommen
23
Estimation theory
18
Schätztheorie
18
Volatilität
18
Börsenkurs
15
Forecasting model
15
Prognoseverfahren
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Risikoprämie
13
Risk premium
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12
United States
12
Cointegration
11
Kointegration
11
Yield curve
8
Zinsstruktur
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CAPM
7
Factor analysis
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Stochastic process
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Stochastischer Prozess
7
Correlation
6
Korrelation
6
VAR-Modell
6
Anleihe
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Bond
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Business cycle
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Nichtparametrisches Verfahren
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Bollerslev, Tim
5
Nielsen, Morten Ørregaard
5
Todorov, Viktor
4
Andreasen, Martin Møller
3
Mikkelsen, Jakob Guldbæk
3
Silvennoinen, Annastiina
3
Teräsvirta, Timo
3
Carlini, Federico
2
Cavaliere, Giuseppe
2
Christensen, Bent Jesper
2
Ergemen, Yunus Emre
2
Hillebrand, Eric
2
Kristensen, Johannes Tang
2
Santucci de Magistris, Paolo
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
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
Johansen, Søren
1
Jones, Maggie E. C.
1
Kanaya, Shin
1
Kang, Jian
1
Kjær, Mads Markvart
1
Kristensen, Dennis
1
Kruse-Becher, Robinson
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CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
185
Working paper
149
CESifo working papers
140
Discussion paper / Centre for Economic Policy Research
118
Discussion paper / Tinbergen Institute
95
Discussion paper
69
Discussion papers / CEPR
65
CAMA working paper series
60
SFB 649 discussion paper
56
CFS working paper series
51
Finance and economics discussion series
51
Kiel working paper
48
Research paper series / Swiss Finance Institute
47
Working paper series / European Central Bank
47
Discussion papers / Deutsches Institut für Wirtschaftsforschung
43
Working papers
43
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41
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
32
IMF working papers
32
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31
Econometric Institute research papers
30
Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
29
Discussion papers of interdisciplinary research project 373
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Department of Economics working paper series
27
Working paper / Department of Econometrics and Business Statistics, Monash University
27
Staff reports / Federal Reserve Bank of New York
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ZEW discussion papers
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Cambridge working papers in economics
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Swiss Finance Institute Research Paper
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International finance discussion papers
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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
The New Keynesian model and bond yields
Andreasen, Martin Møller
-
2021
Persistent link: https://www.econbiz.de/10012433979
Saved in:
5
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
6
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:
7
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:
8
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:
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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