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~isPartOf:"Econometric theory"
~subject:"ARCH model"
~subject:"Heteroskedastizität"
~subject:"Stochastischer Prozess"
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ARCH model
Heteroskedastizität
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Markov chain
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Theorie
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Time series analysis
5
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Meitz, Mika
2
Saikkonen, Pentti
2
Abramson, Ari
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Distaso, Walter
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Liu, Ji-Chun
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Econometric theory
European journal of operational research : EJOR
39
Energy economics
24
Insurance / Mathematics & economics
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International journal of theoretical and applied finance
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Economic modelling
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Journal of econometrics
19
Mathematics of operations research
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of empirical finance
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Finance research letters
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International journal of forecasting
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The North American journal of economics and finance : a journal of financial economics studies
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Finance and stochastics
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International journal of production research
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Journal of forecasting
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Journal of economic dynamics & control
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
10
International review of economics & finance : IREF
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Mathematical methods of operations research
10
Risks : open access journal
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Working paper / Department of Econometrics and Business Statistics, Monash University
10
Econometric reviews
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Economics letters
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Journal of mathematical finance
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The European journal of finance
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Discussion paper / Tinbergen Institute
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Economic theory : official journal of the Society for the Advancement of Economic Theory
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Review of quantitative finance and accounting
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Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
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Asia-Pacific financial markets
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International review of financial analysis
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Journal of banking & finance
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Journal of risk and financial management : JRFM
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1
Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
Saved in:
2
Integrated Markov-switching GARCH process
Liu, Ji-Chun
- In:
Econometric theory
25
(
2009
)
5
,
pp. 1277-1288
Persistent link: https://www.econbiz.de/10003885752
Saved in:
3
On Markov-switching ARMA processes : stationarity, existence of moments, and geometric ergodicity
Stelzer, Robert
- In:
Econometric theory
25
(
2009
)
1
,
pp. 43-62
Persistent link: https://www.econbiz.de/10003816215
Saved in:
4
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
24
(
2008
)
5
,
pp. 1291-1320
Persistent link: https://www.econbiz.de/10003748759
Saved in:
5
On the stationarity of Markov-switching GARCH processes
Abramson, Ari
;
Cohen, Israel
- In:
Econometric theory
23
(
2007
)
3
,
pp. 485-500
Persistent link: https://www.econbiz.de/10003541260
Saved in:
6
ARMA representation of squared Markov switching heteroskedastic models - solution
Distaso, Walter
- In:
Econometric theory
19
(
2003
)
2
,
pp. 412-413
Persistent link: https://www.econbiz.de/10001745838
Saved in:
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