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~accessRights:"restricted"
~person:"Cherchye, Laurens"
~person:"Fan, Caiyun"
~person:"Grossmass, Lidan"
~person:"Linton, Oliver"
~subject:"ARCH-Modell"
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Cherchye, Laurens
Fan, Caiyun
Grossmass, Lidan
Linton, Oliver
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International review of financial analysis
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
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A coupled component DCS-EGARCH model for intraday and overnight volatility
Linton, Oliver
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
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Estimating dynamic copula dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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