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~isPartOf:"Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business"
~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
ARCH model
16
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Time series analysis
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6
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1999-2000
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Christensen, Bent Jesper
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Centre for Analytical Finance <Århus>
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
Discussion paper / Tinbergen Institute
44
Journal of econometrics
43
Journal of empirical finance
37
Economic modelling
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Economics letters
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International journal of forecasting
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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International journal of economics and financial issues : IJEFI
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11
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Econometric theory
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International journal of economics and finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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1
Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model
Christensen, Bent Jesper
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003476066
Saved in:
2
The information content of treasury bond options concerning future volatility and price jumps
Busch, Thomas
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003286582
Saved in:
3
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
Saved in:
4
Modeling sequences of long memory non-negative covariance stationary random variables
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001793903
Saved in:
5
Non-stationary and no moments asymptotics for the ARCH model
Tolver Jensen, Søren
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709225
Saved in:
6
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
7
A comparison of volatility models : does anything beat a
GARCH
(1,1)?
Hansen, Peter Reinhard
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
Saved in:
8
Change of structure in financial time series, long range dependence and the
GARCH
model
Mikosch, Thomas
;
Starica, Catalin
-
2000
Persistent link: https://www.econbiz.de/10001468893
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