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~isPartOf:"Journal of econometrics"
~language:"eng"
~person:"Hallin, Marc"
~person:"Herwartz, Helmut"
~subject:"Geldpolitik"
~subject:"Multivariate Analyse"
~subject:"Option pricing theory"
~subject:"Schätzung"
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Search: subject:"volatility"
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Geldpolitik
Multivariate Analyse
Option pricing theory
Schätzung
Volatility
6
Volatilität
6
Theorie
5
Theory
5
ARCH model
4
ARCH-Modell
4
Time series analysis
4
Zeitreihenanalyse
4
Factor analysis
3
Faktorenanalyse
3
Forecasting model
3
Prognoseverfahren
3
Dynamic factor models
2
Estimation
2
Conditional heteroskedasticity
1
Discretely observed Lévy processes
1
Distribution-freeness
1
Dynamische Wirtschaftstheorie
1
Economic dynamics
1
Financial connectedness
1
Financial market
1
Finanzmarkt
1
Forecasting
1
GARCH
1
GARCH models
1
Heteroscedasticity
1
Heteroskedastizität
1
High-dimensional time series
1
Identifying assumptions
1
Innovation
1
Liquidity
1
Liquidität
1
Locally stationary dynamic factor models
1
MGARCH
1
Market liquidity
1
Marktliquidität
1
Modellierung
1
Multivariate analysis
1
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English
Author
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Hallin, Marc
Herwartz, Helmut
Todorov, Viktor
14
Bollerslev, Tim
9
Tauchen, George Eugene
8
Xiu, Dacheng
7
Aït-Sahalia, Yacine
6
Kim, Donggyu
5
Li, Jia
5
Andersen, Torben
4
McAleer, Michael
4
Asai, Manabu
3
Francq, Christian
3
Ghysels, Eric
3
Gouriéroux, Christian
3
Patton, Andrew J.
3
Wang, Yazhen
3
Zakoïan, Jean-Michel
3
Amengual, Dante
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Bondarenko, Oleg
2
Christensen, Kim
2
Creal, Drew
2
Engle, Robert F.
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gallo, Giampiero M.
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Li, Yingying
2
Meddahi, Nour
2
Paolella, Marc S.
2
Park, Joon Y.
2
Park, Yang-Ho
2
Petrova, Katerina
2
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Published in...
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Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
Discussion papers of interdisciplinary research project 373
5
Applied quantitative finance
2
ECARES working paper
2
An analysis of long-term influences on financial markets, uncertainty and the sustainability of fiscal balances
1
Applied quantitative finance : theory and computational tools
1
CORE discussion papers : DP
1
Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
1
Discussion papers / Deutsches Institut für Wirtschaftsforschung
1
Econometric Institute research papers
1
Econometric reviews
1
Economics working paper
1
Economics working paper series
1
Journal of applied economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of international financial markets, institutions & money
1
Macroeconomic dynamics
1
Oxford bulletin of economics and statistics
1
Review of world economics
1
SFB 373 Discussion Paper
1
Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
1
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ECONIS (ZBW)
3
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1
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
2
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
3
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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