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~isPartOf:"Working paper"
~isPartOf:"Working papers"
~source:"econis"
~subject:"ARCH model"
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Search: subject_exact:"Schätzfunktion"
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ARCH model
Estimation theory
920
Schätztheorie
920
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199
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199
Nichtparametrisches Verfahren
167
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167
Time series analysis
159
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Teräsvirta, Timo
3
Billio, Monica
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Rahbek, Anders
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1
Amado, Cristina
1
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1
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1
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1
Catani, Paul
1
Chlebus, Marcin
1
Chua, Chew Lian
1
Conrad, Christian
1
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1
Du, Zaichao
1
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1
Dēmos, Antōnēs A.
1
Engle, Robert F.
1
Escobar, Marcos
1
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Huang, Da
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Härdle, Wolfgang
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Jensen, Søren Tolver
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of forecasting
13
Journal of empirical finance
13
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Finance research letters
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Journal of risk
12
International journal of economics and financial issues : IJEFI
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The North American journal of economics and finance : a journal of financial economics studies
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
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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
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The European journal of finance
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CBN journal of applied statistics
4
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ECONIS (ZBW)
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1
Estimation of nonlinear DSGE models through Laplace based solutions
Baiaman, Elnura
;
Leon-Gonzalez, Roberto
-
2024
Persistent link: https://www.econbiz.de/10015049072
Saved in:
2
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
3
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
-
2023
Persistent link: https://www.econbiz.de/10014281687
Saved in:
4
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:
5
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
6
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:
7
Modelling volatility cycles : the (MF)2 GARCH model
Conrad, Christian
;
Engle, Robert F.
-
2021
-
This draft: March 14, 2021
Persistent link: https://www.econbiz.de/10012488645
Saved in:
8
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:
9
Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GAR...
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2017
Persistent link: https://www.econbiz.de/10011907622
Saved in:
10
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
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