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~isPartOf:"Applied economics"
~isPartOf:"Econometric reviews"
~subject:"Autocorrelation"
~subject:"Induktive Statistik"
~subject:"Schätztheorie"
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Autocorrelation
Induktive Statistik
Schätztheorie
ARCH model
210
ARCH-Modell
210
Volatility
127
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127
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70
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Kim, Jong-Min
3
Teräsvirta, Timo
3
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2
Jung, Hojin
2
Licht, Adrian
2
Amado, Cristina
1
Ayala, Astrid Loretta
1
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1
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1
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1
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Applied economics
Econometric reviews
Journal of econometrics
52
Econometric theory
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Economics letters
21
Discussion paper / Tinbergen Institute
19
Journal of empirical finance
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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International journal of forecasting
16
Finance research letters
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CREATES research paper
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Journal of risk
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Economic modelling
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The North American journal of economics and finance : a journal of financial economics studies
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11
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11
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11
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10
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10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
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9
Journal of banking & finance
9
Econometrics : open access journal
8
International Journal of Energy Economics and Policy : IJEEP
8
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8
The journal of risk model validation
8
Applied economics letters
7
Computational economics
7
International review of financial analysis
7
Journal of mathematical finance
7
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
6
The European journal of finance
6
Annals of financial economics
5
CBN journal of applied statistics
5
Discussion paper / Department of Economics, University of California San Diego
5
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
5
Discussion papers / Department of Economics, University of Copenhagen
5
Discussion papers of interdisciplinary research project 373
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1
Random autoregressive models : a structured overview
Regis, Marta
;
Serra, Paulo
;
Heuvel, Edwin R. van den
- In:
Econometric reviews
41
(
2022
)
2
,
pp. 207-230
Persistent link: https://www.econbiz.de/10013167604
Saved in:
2
Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
Saved in:
3
Score function scaling for QAR plus Beta-t-EGARCH : an empirical application to the S&P 500
Ayala, Astrid Loretta
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
56
(
2024
)
31
,
pp. 3684-3697
Persistent link: https://www.econbiz.de/10014528626
Saved in:
4
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
Cai, Jun
;
Horrace, William C.
;
Lee, Yoonseok
- In:
Econometric reviews
43
(
2024
)
5
,
pp. 238-268
Persistent link: https://www.econbiz.de/10014551521
Saved in:
5
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
6
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
7
High-dimensional penalized arch processes
Poignard, Benjamin
;
Fermanian, Jean-David
- In:
Econometric reviews
40
(
2021
)
1
,
pp. 86-107
Persistent link: https://www.econbiz.de/10012483797
Saved in:
8
Dynamic conditional score models : a review of their applications
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Applied economics
52
(
2020
)
11
,
pp. 1181-1199
Persistent link: https://www.econbiz.de/10012197522
Saved in:
9
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
10
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao
;
Li, Chenxue
;
Peng, Liang
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
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