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~isPartOf:"Econometric reviews"
~isPartOf:"Journal of international money and finance"
~subject:"Estimation theory"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"ARCH model"
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Estimation theory
ARCH model
93
ARCH-Modell
93
Volatility
49
Volatilität
49
Theorie
39
Theory
39
Estimation
24
Schätzung
24
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Teräsvirta, Timo
3
Amado, Cristina
1
Bermudez, P. de Zea
1
Cai, Jun
1
Catani, Paul
1
Chua, Chew Lian
1
Fermanian, Jean-David
1
Galbraith, John W.
1
Halunga, Andreea G.
1
Heuvel, Edwin R. van den
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1
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Peng, Liang
1
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1
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1
Regis, Marta
1
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1
Serra, Paulo
1
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1
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1
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Econometric reviews
Journal of international money and finance
Journal of econometrics
50
Econometric theory
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Economics letters
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
The econometrics journal
14
International journal of forecasting
13
Journal of empirical finance
13
Finance research letters
12
Journal of risk
12
International journal of economics and financial issues : IJEFI
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
11
Applied economics
10
Journal of time series econometrics
10
Economic modelling
9
Journal of banking & finance
9
Journal of risk and financial management : JRFM
9
The North American journal of economics and finance : a journal of financial economics studies
9
Journal of financial econometrics
8
Applied economics letters
7
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7
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7
The journal of risk model validation
7
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6
International Journal of Energy Economics and Policy : IJEEP
6
Annals of financial economics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
The European journal of finance
5
CBN journal of applied statistics
4
International journal of economics and finance
4
Journal of economic dynamics & control
4
Theoretical economics letters
4
Annals of economics and statistics
3
Central European journal of economic modelling and econometrics
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Financial innovation : FIN
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Insurance / Mathematics & economics
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ECONIS (ZBW)
15
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date (oldest first)
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
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:
4
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:
5
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao
;
Li, Chenxue
;
Peng, Liang
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
Saved in:
6
Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
Halunga, Andreea G.
;
Savva, Christos S.
- In:
Econometric reviews
38
(
2019
)
6
,
pp. 660-678
Persistent link: https://www.econbiz.de/10012181343
Saved in:
7
A general approach to conditional moment specification testing with projections
Wang, Xuexin
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 140-165
Persistent link: https://www.econbiz.de/10012038162
Saved in:
8
Robust parametric tests of constant conditional correlation in a MGARCH model
Shadat, Wasel
;
Orme, Chris D.
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 551-576
Persistent link: https://www.econbiz.de/10012039397
Saved in:
9
Specification and testing of multiplicative time-varying GARCH models with applications
Amado, Cristina
;
Teräsvirta, Timo
- In:
Econometric reviews
36
(
2017
)
4
,
pp. 421-446
Persistent link: https://www.econbiz.de/10011795239
Saved in:
10
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 599-621
Persistent link: https://www.econbiz.de/10011795292
Saved in:
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