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~isPartOf:"Applied financial economics"
~isPartOf:"Economics letters"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working paper series"
~subject:"ARCH-Modell"
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Search: subject_exact:"Trend-cycle estimation"
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ARCH-Modell
Time series analysis
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471
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Francq, Christian
6
Zakoïan, Jean-Michel
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Hafner, Christian M.
3
Hallin, Marc
3
Kim, Donggyu
3
Li, Guodong
3
Barigozzi, Matteo
2
Blasques, F.
2
Brüggemann, Ralf
2
Jentsch, Carsten
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Li, Wai Keung
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Ruiz, Esther
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Trenkler, Carsten
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2
Werker, Bas J. M.
2
Zhu, Ke
2
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1
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1
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Applied financial economics
Economics letters
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Discussion paper / Tinbergen Institute
42
Journal of empirical finance
36
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
29
International journal of forecasting
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27
Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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International Journal of Energy Economics and Policy : IJEEP
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Journal of time series econometrics
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The econometrics journal
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Econometrics : open access journal
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Journal of international financial markets, institutions & money
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Econometric theory
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
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CORE discussion papers : DP
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International journal of finance & economics : IJFE
8
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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1
On the growth rate of superadditive processes and the stability of functional GARCH models
Kandji, Baye Matar
-
2023
Persistent link: https://www.econbiz.de/10014321021
Saved in:
2
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
3
Ination dynamics and time-varying persistence : the importance of the uncertainty channel
Canepa, Alessandra
-
2022
Persistent link: https://www.econbiz.de/10013366360
Saved in:
4
Asset pricing using Block-Cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012543884
Saved in:
5
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
6
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
7
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
8
Quasi score-driven models
Blasques, F.
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
Saved in:
9
Asymmetric volatility impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
222
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014232851
Saved in:
10
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
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