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~isPartOf:"CREATES research paper"
~subject:"ARCH model"
~subject:"Business cycle"
~type_genre:"Bibliography included"
~type_genre:"Graue Literatur"
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Search: subject_exact:"Volatility"
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ARCH model
Business cycle
Volatility
101
Volatilität
101
Theorie
39
Theory
39
Capital income
25
Kapitaleinkommen
25
Time series analysis
25
Zeitreihenanalyse
25
Stochastic process
22
Stochastischer Prozess
22
Börsenkurs
19
Share price
19
ARCH-Modell
18
Estimation
18
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18
Forecasting model
17
Prognoseverfahren
17
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15
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15
Option pricing theory
11
Optionspreistheorie
11
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9
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8
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8
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7
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7
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7
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Nichtparametrisches Verfahren
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23
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23
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Hansen, Peter Reinhard
4
Teräsvirta, Timo
4
Silvennoinen, Annastiina
3
Christoffersen, Peter F.
2
Lunde, Asger
2
Abate, Girum Dagnachew
1
Amado, Cristina
1
Andersen, Torben
1
Andreasen, Martin M.
1
Andreasen, Martin Møller
1
Anselin, Luc
1
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1
Asgharian, Hossein
1
Babaoğlu, Kadir
1
Callot, Laurent
1
Chini, Emilio Zanetti
1
Christiansen, Charlotte
1
Dias, Gustavo Fruet
1
Dziubinski, Matt
1
Feunou, Bruno
1
Grassi, Stefano
1
Gupta, Rangan
1
Hall, Anthony D.
1
Heston, Steven L.
1
Horel, Guillaume
1
Hou, Ai Jun
1
Huang, Zhuo
1
Huang, Zhuowei
1
Jacobs, Kris
1
Jakobsen, Johan Stax
1
Jeon, Yoontae
1
Kang, Jian
1
Kristensen, Johannes Tang
1
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1
Nonejad, Nima
1
Osterrieder, Daniela
1
Papailias, Fotis
1
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1
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CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
65
Discussion paper / Tinbergen Institute
56
Working paper
55
CESifo working papers
41
Discussion paper / Centre for Economic Policy Research
41
Econometric Institute research papers
38
Department of Economics working paper series
21
Working papers
18
Finance and economics discussion series
17
CAMA working paper series
16
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16
Discussion paper
15
CORE discussion papers : DP
14
SFB 649 discussion paper
14
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14
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10
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9
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9
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9
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8
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ECONIS (ZBW)
23
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
3
Time-varying periodicity in intraday volatility
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797522
Saved in:
4
Forecasting dynamically asymmetric fluctuations of the U.S. business cycle
Chini, Emilio Zanetti
-
2018
Persistent link: https://www.econbiz.de/10011864895
Saved in:
5
Effects of economic policy uncertainty shocks on the long-run US-UK stock market correlation
Asgharian, Hossein
;
Christiansen, Charlotte
;
Gupta, Rangan
-
2016
Persistent link: https://www.econbiz.de/10011541711
Saved in:
6
House price fluctuations and the business cycle dynamics
Abate, Girum Dagnachew
;
Anselin, Luc
-
2016
Persistent link: https://www.econbiz.de/10011447774
Saved in:
7
Volatility discovery
Dias, Gustavo Fruet
;
Scherrer, Cristina Mabel
; …
-
2016
Persistent link: https://www.econbiz.de/10011447786
Saved in:
8
Option valuation with volatility components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
9
A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
2015
Persistent link: https://www.econbiz.de/10010514600
Saved in:
10
Regularized estimation of structural instability in factor models : the US macroeconomy and the Great Moderation
Callot, Laurent
;
Kristensen, Johannes Tang
-
2015
Persistent link: https://www.econbiz.de/10010529439
Saved in:
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