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~isPartOf:"Advanced studies in theoretical and applied econometrics : ASTA"
~isPartOf:"Discussion paper / Department of Economics, University of California San Diego"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Bauwens, Luc"
~person:"Blazsek, Szabolcs"
~person:"Gallo, Giampiero M."
~person:"Haas, Markus"
~subject:"ARCH-Modell"
~subject:"Börse"
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Search: subject_exact:"ARCH model"
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ARCH-Modell
Börse
ARCH model
18
Volatility
12
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7
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7
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7
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7
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Bauwens, Luc
Blazsek, Szabolcs
Gallo, Giampiero M.
Haas, Markus
Engle, Robert F.
14
Francq, Christian
14
Zakoïan, Jean-Michel
11
Bollerslev, Tim
7
Paolella, Marc S.
7
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6
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6
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6
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5
Huang, Zhuo
5
Ma, Feng
5
Zhu, Ke
5
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4
Conrad, Christian
4
Dufays, Arnaud
4
Hafner, Christian M.
4
Jawadi, Fredj
4
Karanasos, Menelaos
4
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4
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4
Mittnik, Stefan
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4
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4
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4
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4
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3
Andreou, Elena
3
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3
Carnero, M. Angeles
3
Christensen, Bent Jesper
3
Fleming, Jeff
3
Fountas, Stilianos
3
Granger, C. W. J.
3
Gupta, Rangan
3
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3
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Advanced studies in theoretical and applied econometrics : ASTA
Discussion paper / Department of Economics, University of California San Diego
Economic modelling
Journal of econometrics
Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
CORE discussion papers : DP
15
Applied economics
6
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6
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5
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4
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3
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SFB 649 discussion paper
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Socio-economic planning sciences : the international journal of public sector decision-making
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ECONIS (ZBW)
18
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1
Anticipating extreme losses using score-driven shape filters
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 449-484
Persistent link: https://www.econbiz.de/10014372905
Saved in:
2
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
3
Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Blazsek, Szabolcs
;
Haddad, Michel Ferreira Cardia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 589-634
Persistent link: https://www.econbiz.de/10014372917
Saved in:
4
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
5
On the asymmetric impact of macro-variables on volatility
Amendola, Alessandra
;
Candila, Vincenzo
;
Gallo, Giampiero M.
- In:
Economic modelling
76
(
2019
),
pp. 135-152
Persistent link: https://www.econbiz.de/10012198276
Saved in:
6
A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus
;
Liu, Ji-Chun
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
Saved in:
7
A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
8
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
Saved in:
9
Stable mixture GARCH models
Broda, Simon A.
;
Haas, Markus
;
Krause, Jochen
; …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 292-306
Persistent link: https://www.econbiz.de/10009706200
Saved in:
10
Skew-normal mixture and Markov-switching GARCH processes
Haas, Markus
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
4
,
pp. 1-54
Persistent link: https://www.econbiz.de/10009515142
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