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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Econometric reviews"
~subject:"Autocorrelation"
~subject:"Induktive Statistik"
~subject:"Schätztheorie"
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Autocorrelation
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ARCH model
82
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36
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36
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36
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Preminger, Arie
5
Hafner, Christian M.
4
Storti, Giuseppe
3
Teräsvirta, Timo
3
Bauwens, Luc
2
Amado, Cristina
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Bauwensa, Luc
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Bermudez, P. de Zea
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CORE discussion papers : DP
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
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10
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Journal of banking & finance
9
Econometrics : open access journal
8
International Journal of Energy Economics and Policy : IJEEP
8
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The journal of risk model validation
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Applied economics letters
7
Computational economics
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International review of financial analysis
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Journal of mathematical finance
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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
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Discussion papers / Department of Economics, University of Copenhagen
5
Discussion papers of interdisciplinary research project 373
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ECONIS (ZBW)
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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
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:
3
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
4
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
5
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:
6
Least squares estimation for Garch (1,1) model with heavy tailed errors
Preminger, Arie
;
Storti, Giuseppe
-
2017
Persistent link: https://www.econbiz.de/10011990826
Saved in:
7
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:
8
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.
;
Laurent, Sébastien
;
Violante, …
-
2016
Persistent link: https://www.econbiz.de/10011589493
Saved in:
9
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
10
Multiplicative conditional correlation models for realized covariance matrices
Bauwensa, Luc
;
Braione, Manuela
;
Storti, Giuseppe
-
2016
Persistent link: https://www.econbiz.de/10011894432
Saved in:
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