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~isPartOf:"Applied quantitative finance"
~isPartOf:"Journal of econometrics"
~person:"Engle, Robert F."
~person:"Herwartz, Helmut"
~subject:"Geldpolitik"
~subject:"Multivariate Analyse"
~subject:"Option pricing theory"
~subject:"Schätzung"
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Geldpolitik
Multivariate Analyse
Option pricing theory
Schätzung
Volatility
6
Volatilität
6
Multivariate analysis
4
Theorie
4
Theory
4
USA
4
United States
4
ARCH model
3
ARCH-Modell
3
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3
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2
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2
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1979-1994
1
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1
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1
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1
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1
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Log-ACD models
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Engle, Robert F.
Herwartz, Helmut
Todorov, Viktor
14
Bollerslev, Tim
9
Tauchen, George Eugene
8
Xiu, Dacheng
7
Aït-Sahalia, Yacine
6
Kim, Donggyu
5
Li, Jia
5
Andersen, Torben
4
McAleer, Michael
4
Asai, Manabu
3
Fengler, Matthias R.
3
Francq, Christian
3
Ghysels, Eric
3
Gouriéroux, Christian
3
Hautsch, Nikolaus
3
Härdle, Wolfgang
3
Patton, Andrew J.
3
Wang, Yazhen
3
Zakoïan, Jean-Michel
3
Amengual, Dante
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Bondarenko, Oleg
2
Christensen, Kim
2
Creal, Drew
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gallo, Giampiero M.
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Hallin, Marc
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Li, Yingying
2
Meddahi, Nour
2
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Applied quantitative finance
Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Discussion papers of interdisciplinary research project 373
5
Discussion paper / Department of Economics, University of California San Diego
4
NBER working paper series
4
Working paper / National Bureau of Economic Research, Inc.
4
NBER Working Paper
3
Working paper series / University of Zurich, Department of Economics
3
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
2
An analysis of long-term influences on financial markets, uncertainty and the sustainability of fiscal balances
1
Applied quantitative finance : theory and computational tools
1
CORE discussion papers : DP
1
Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Discussion paper series
1
Discussion papers / Deutsches Institut für Wirtschaftsforschung
1
Econometric Institute research papers
1
Econometric reviews
1
Economics working paper
1
Forecasting volatility in the financial markets
1
Jahrbücher für Nationalökonomie und Statistik
1
Journal of applied economics
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international financial markets, institutions & money
1
Macroeconomic dynamics
1
Oxford bulletin of economics and statistics
1
Review of derivatives research
1
Review of finance : journal of the European Finance Association
1
Review of world economics
1
SFB 373 Discussion Paper
1
Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
1
The Review of Finance, Forthcoming
1
Working paper series / Czech National Bank
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ECONIS (ZBW)
5
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1
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
2
Multivariate
volatility
models
Fengler, Matthias
;
Herwartz, Helmut
;
Raters, F. H. C.
- In:
Applied quantitative finance
,
(pp. 25-37)
.
2017
Persistent link: https://www.econbiz.de/10011794951
Saved in:
3
Multivariate
volatility
models
Fengler, Matthias R.
;
Herwartz, Helmut
- In:
Applied quantitative finance
,
(pp. 313-326)
.
2009
Persistent link: https://www.econbiz.de/10003746416
Saved in:
4
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
5
A multiple indicators model for
volatility
using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
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