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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:"Gallo, Giampiero M."
~person:"Haas, Markus"
~person:"Ling, Shiqing"
~subject:"ARCH-Modell"
~type:"article"
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Search: subject_exact:"ARCH model"
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ARCH-Modell
ARCH model
17
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9
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9
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7
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6
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6
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17
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Bauwens, Luc
Gallo, Giampiero M.
Haas, Markus
Ling, Shiqing
Francq, Christian
14
Zakoïan, Jean-Michel
11
Paolella, Marc S.
7
Bollerslev, Tim
6
Iglesias, Emma M.
6
Maheu, John M.
6
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6
Huang, Zhuo
5
Ma, Feng
5
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5
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4
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4
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4
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4
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4
Jawadi, Fredj
4
Karanasos, Menelaos
4
Laurent, Sébastien
4
Mittnik, Stefan
4
Rombouts, Jeroen V. K.
4
Wang, Tianyi
4
Wang, Yudong
4
Zhang, Yaojie
4
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3
Andreou, Elena
3
Arouri, Mohamed
3
Blazsek, Szabolcs
3
Carnero, M. Angeles
3
Christensen, Bent Jesper
3
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3
Fleming, Jeff
3
Fountas, Stilianos
3
Gupta, Rangan
3
Hallin, Marc
3
Herwartz, Helmut
3
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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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Econometric theory
4
International journal of forecasting
3
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2
The econometrics journal
2
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1
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1
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1
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1
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1
Oxford bulletin of economics and statistics
1
Papers in efficiency, effectiveness and international competitiveness
1
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Socio-economic planning sciences : the international journal of public sector decision-making
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The European journal of finance
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ECONIS (ZBW)
17
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10
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17
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1
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:
2
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:
3
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:
4
The ZD-GARCH model : a new way to study heteroscedasticity
Li, Dong
;
Zhang, Xingfa
;
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011974547
Saved in:
5
Model-based pricing for financial derivatives
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Saved in:
6
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:
7
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:
8
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:
9
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
Saved in:
10
A component GARCH model with time varying weights
Bauwens, Luc
;
Storti, Giuseppe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009513593
Saved in:
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