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~isPartOf:"CREATES research paper"
~subject:"ARCH model"
~subject:"Stock market"
~type_genre:"Graue Literatur"
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ARCH model
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Volatility
101
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Theorie
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25
Kapitaleinkommen
25
Time series analysis
25
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Hansen, Peter Reinhard
4
Teräsvirta, Timo
4
Asgharian, Hossein
3
Christiansen, Charlotte
3
Hou, Ai Jun
3
Silvennoinen, Annastiina
3
Christoffersen, Peter F.
2
Lunde, Asger
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CREATES research paper
Discussion paper / Tinbergen Institute
57
Working paper
54
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40
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39
CESifo working papers
38
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33
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24
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23
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SFB 649 discussion paper
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14
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14
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13
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11
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8
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Department of Economics discussion paper series / University of Oxford
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ECONIS (ZBW)
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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
Economic policy uncertainty and long-run stock market volatility and correlation
Asgharian, Hossein
;
Christiansen, Charlotte
;
Hou, Ai Jun
-
2018
Persistent link: https://www.econbiz.de/10011864884
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
Volatility discovery
Dias, Gustavo Fruet
;
Scherrer, Cristina Mabel
; …
-
2016
Persistent link: https://www.econbiz.de/10011447786
Saved in:
7
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:
8
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:
9
Understanding volatility dynamics in the EU-ETS market
Sanin, María Eugenia
;
Violante, Francesco
; …
-
2015
Persistent link: https://www.econbiz.de/10011516991
Saved in:
10
Option valuation with observable volatility and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
-
2015
Persistent link: https://www.econbiz.de/10011516993
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