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~isPartOf:"Journal of econometrics"
~person:"Caporin, Massimiliano"
~person:"Conrad, Christian"
~person:"Hamori, Shigeyuki"
~source:"econis"
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Search: subject:"ARCH-Modell"
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ARCH model
3
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Anomalous scaling
1
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GARCH
1
GARCH-in-Mean
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Markov chain
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Caporin, Massimiliano
Conrad, Christian
Hamori, Shigeyuki
Francq, Christian
12
Zakoïan, Jean-Michel
9
Bollerslev, Tim
5
Zhu, Ke
5
Ling, Shiqing
4
Paolella, Marc S.
4
Andreou, Elena
3
Hallin, Marc
3
Kim, Donggyu
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Laurent, Sébastien
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Li, Guodong
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3
Xiu, Dacheng
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Journal of econometrics
Discussion paper series / University of Heidelberg, Department of Economics
10
Working paper
7
Econometric Institute research papers
6
Working papers
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Journal of risk and financial management : JRFM
4
Applied economics
3
Econometric reviews
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Economics letters
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International review of economics & finance : IREF
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Journal of empirical finance
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Applied financial economics
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Japan and the world economy : international journal of theory and policy
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Asymptotics for parametric GARCH-in-Mean models
Conrad, Christian
;
Mammen, Enno
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 319-329
Persistent link: https://www.econbiz.de/10011705167
Saved in:
2
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
3
Non-negativity conditions for the hyperbolic GARCH model
Conrad, Christian
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 441-457
Persistent link: https://www.econbiz.de/10008662982
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