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Search: subject:"Zeitreihenanalyse"
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ARCH-Modell
Time series analysis
37
Zeitreihenanalyse
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Theorie
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Estimation theory
10
Factor analysis
10
Faktorenanalyse
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Schätztheorie
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time-varying models
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time series
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non-stationary process
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Hallin, Marc
6
Barigozzi, Matteo
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Alj, Abdelkamel
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Azrak, Rajae
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Hotta, Luiz K.
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La Vecchia, Davide
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Mazzeu, João H. G.
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Mélard, Guy
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Pereira, Pedro L. Valls
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Trucios, Carlos
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Trucíos, Carlos
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ECARES working paper
Discussion paper / Tinbergen Institute
42
Journal of econometrics
42
Journal of empirical finance
37
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
International journal of forecasting
30
Energy economics
29
Finance research letters
28
Applied economics
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Economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
The North American journal of economics and finance : a journal of financial economics studies
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CREATES research paper
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International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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Journal of risk and financial management : JRFM
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Research in international business and finance
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Econometric Institute research papers
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Econometric reviews
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International review of economics & finance : IREF
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Journal of banking & finance
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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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International journal of economics and financial issues : IJEFI
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Journal of financial econometrics
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Computational economics
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Journal of international financial markets, institutions & money
11
Journal of risk
11
Applied financial economics
10
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
9
CORE discussion papers : DP
8
International journal of finance & economics : IJFE
8
The European journal of finance
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ECONIS (ZBW)
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1
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
-
2020
Persistent link: https://www.econbiz.de/10012437084
Saved in:
2
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
-
2019
Persistent link: https://www.econbiz.de/10012064776
Saved in:
3
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
-
2018
Persistent link: https://www.econbiz.de/10012064840
Saved in:
4
FloGARCH : realizing long memory and asymmetries in returns volatility
Vander Elst, Harry
-
2015
Persistent link: https://www.econbiz.de/10011289172
Saved in:
5
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
-
2015
Persistent link: https://www.econbiz.de/10011289224
Saved in:
6
Semiparametrically efficient R-estimation for dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
-
2014
Persistent link: https://www.econbiz.de/10010418928
Saved in:
7
Generalized dynamic factor models and volatilities : recovering the market volatility shocks
Barigozzi, Matteo
;
Hallin, Marc
-
2014
Persistent link: https://www.econbiz.de/10010483698
Saved in:
8
On conditions in central limit theorems for martingale difference arrays long version
Alj, Abdelkamel
;
Azrak, Rajae
;
Mélard, Guy
-
2014
Persistent link: https://www.econbiz.de/10010378427
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