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type_genre:"Non-commercial literature"
type_genre:"Working Paper"
~isPartOf:"CREATES research paper"
~language:"eng"
~subject:"ARCH-Modell"
~subject:"Faktorenanalyse"
~subject:"Risikoprämie"
~subject:"Share price"
~type_genre:"Amtsdruckschrift"
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ARCH-Modell
Faktorenanalyse
Risikoprämie
Share price
Estimation
79
Schätzung
79
Theorie
32
Theory
32
Time series analysis
25
Zeitreihenanalyse
25
Capital income
23
Kapitaleinkommen
23
Estimation theory
18
Schätztheorie
18
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18
Volatilität
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United States
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Cointegration
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Kointegration
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8
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Factor analysis
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Stochastischer Prozess
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Korrelation
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VAR model
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VAR-Modell
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Andreasen, Martin Møller
5
Bollerslev, Tim
4
Todorov, Viktor
4
Mikkelsen, Jakob Guldbæk
3
Silvennoinen, Annastiina
3
Teräsvirta, Timo
3
Ergemen, Yunus Emre
2
Hillebrand, Eric
2
Nielsen, Morten Ørregaard
2
Urga, Giovanni
2
Violante, Francesco
2
Andersen, Torben
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Demetrescu, Matei
1
Dolatabadi, Sepideh
1
Engsted, Tom
1
Eriksen, Jonas Nygaard
1
Fernández-Villaverde, Jesús
1
Fusari, Nicola
1
Grassi, Stefano
1
Haldrup, Niels
1
Hall, Anthony D.
1
Hautsch, Nikolaus
1
Irarrazabal, Alfonso
1
Jakobsen, Johan Stax
1
Jørgensen, Kasper
1
Kang, Jian
1
Kristensen, Johannes Tang
1
Kruse-Becher, Robinson
1
Lange, Theis
1
Lanne, Markku
1
Li, Sophia Zhengzi
1
Mao, Xiuping
1
Meldrum, Andrew
1
Møller, Stig Vinther
1
Nielsen, Ole Linnemann
1
Ntantamis, Christos
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CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
153
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81
CESifo working papers
76
Discussion paper / Centre for Economic Policy Research
76
Discussion paper / Tinbergen Institute
61
Research paper series / Swiss Finance Institute
48
Discussion papers / CEPR
46
Discussion paper
43
SFB 649 discussion paper
43
CFS working paper series
41
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33
Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
29
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20
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Staff reports / Federal Reserve Bank of New York
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Working paper / Department of Econometrics and Business Statistics, Monash University
19
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Discussion papers of interdisciplinary research project 373
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Cambridge working papers in economics
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ECONIS (ZBW)
35
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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
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
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:
9
Adaptive inference in heteroskedastic fractional time series models
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2020
Persistent link: https://www.econbiz.de/10012317803
Saved in:
10
Bond risk premiums at the zero lower bound
Andreasen, Martin Møller
;
Jørgensen, Kasper
;
Meldrum, …
-
2019
Persistent link: https://www.econbiz.de/10012063987
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