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~language:"eng"
~subject:"Zeitreihenanalyse"
~type_genre:"Arbeitspapier"
~type_genre:"Thesis"
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Zeitreihenanalyse
ARCH model
1,739
ARCH-Modell
1,739
Volatility
868
Volatilität
867
Theorie
630
Theory
630
Estimation
471
Schätzung
471
Time series analysis
408
Capital income
276
Kapitaleinkommen
276
Börsenkurs
261
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261
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256
Prognoseverfahren
256
USA
231
United States
228
Estimation theory
224
Schätztheorie
224
Aktienmarkt
174
Stock market
174
Risikomaß
150
Risk measure
150
Exchange rate
134
Wechselkurs
134
GARCH
132
Welt
123
World
123
Multivariate Analyse
121
Multivariate analysis
121
Spillover effect
120
Spillover-Effekt
120
Correlation
114
Korrelation
114
Statistical distribution
110
Statistische Verteilung
110
Stochastic process
110
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110
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94
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323
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2
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410
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Article in journal
1,090
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1,090
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403
Graue Literatur
372
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372
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36
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36
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30
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9
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9
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7
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6
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4
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4
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10
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McAleer, Michael
33
Teräsvirta, Timo
12
Koopman, Siem Jan
10
Lütkepohl, Helmut
10
Bauwens, Luc
9
Caporin, Massimiliano
9
Rombouts, Jeroen V. K.
9
Lucas, André
8
Nielsen, Morten Ørregaard
8
Gupta, Rangan
7
Hansen, Peter Reinhard
7
Medeiros, Marcelo C.
7
Saikkonen, Pentti
7
Allen, David E.
6
Chang, Chia-Lin
6
Conrad, Christian
6
Dijk, Dick van
6
Hallin, Marc
6
Härdle, Wolfgang
6
Silvennoinen, Annastiina
6
Caporale, Guglielmo Maria
5
Feng, Yuanhua
5
Hafner, Christian M.
5
Krämer, Walter
5
Lux, Thomas
5
Mittnik, Stefan
5
Rahbek, Anders
5
Shephard, Neil G.
5
Blasques, Francisco
4
Carnero, M. Angeles
4
Cavaliere, Giuseppe
4
Chen, Xiaohong
4
Christensen, Bent Jesper
4
Gonçalves, Sílvia
4
Grassi, Stefano
4
Harvey, Andrew C.
4
Kilian, Lutz
4
Klüppelberg, Claudia
4
Meitz, Mika
4
Ooms, Marius
4
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Centre for Analytical Finance <Århus>
5
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
5
Econometrisch Instituut <Rotterdam>
2
Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
University of Canterbury / Dept. of Economics and Finance
2
William Davidson Institute <Ann Arbor, Mich.>
2
Center for Economic Research <Tilburg>
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Ekonomiska forskningsinstitutet <Stockholm>
1
European University Institute / Department of Economics
1
Konjunkturinstitutet <Stockholm>
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
University of Strathclyde / Department of Economics
1
Université de Montréal / Département de sciences économiques
1
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Discussion paper / Tinbergen Institute
44
CREATES research paper
19
Working paper
18
Econometric Institute research papers
15
CORE discussion papers : DP
8
ECARES working paper
8
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
8
CESifo working papers
7
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
7
Working paper series
7
Working papers
7
Discussion papers / Deutsches Institut für Wirtschaftsforschung
6
SFB 649 discussion paper
6
Discussion papers of interdisciplinary research project 373
5
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
5
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
5
CORE discussion paper : DP
4
Department of Economics discussion paper series / University of Oxford
4
Discussion paper / Center for Economic Research, Tilburg University
4
Discussion paper series
4
Discussion papers / Department of Economics, University of Copenhagen
4
Finmap working paper
4
IWQW discussion paper series
4
Queen's Economics Department working paper
4
SSE EFI working paper series in economics and finance
4
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
4
CFS working paper series
3
Cambridge working papers in economics
3
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
3
Economics and finance working paper series
3
Economics discussion papers
3
IES working paper
3
LSF research working paper series
3
Research paper series / Swiss Finance Institute
3
Umeå economic studies
3
Arbeiten aus dem Institut für Statistik und Ökonometrie der Christian-Albrechts-Universität Kiel
2
CAMA working paper series
2
CEMMAP working papers / Centre for Microdata Methods and Practice
2
CIE working paper series
2
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Source
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ECONIS (ZBW)
410
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1
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of
410
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1
The hybrid forecast of S&P 500 volatility ensembled from VIX,
GARCH
and LSTM models
Roszyk, Natalia
;
Ślepaczuk, Robert
-
2024
Persistent link: https://www.econbiz.de/10014634883
Saved in:
2
Bootstrapping
GARCH
models under dependent innovations
Beutner, Eric
;
Schaumburg, Julia
;
Spanjers, Barend
-
2024
This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for
GARCH
models under …
Persistent link: https://www.econbiz.de/10014457811
Saved in:
3
Ensembling ARIMAX model in algorithmic investment strategies on commodities market
Jakubowski, Paweł
;
Ślepaczuk, Robert
;
Windorbski, …
-
2023
Persistent link: https://www.econbiz.de/10014448210
Saved in:
4
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying
GARCH
model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
5
Estimation of large volatility matrices with low-rank signal plus sparse noise structures
Dai, Runyu
;
Matsuda, Yasumasa
-
2023
Persistent link: https://www.econbiz.de/10014310363
Saved in:
6
On the growth rate of superadditive processes and the stability of functional
GARCH
models
Kandji, Baye Matar
-
2023
Persistent link: https://www.econbiz.de/10014321021
Saved in:
7
Deep learning for multivariate volatility forecasting in high-dimensional financial time series
Iwafuchi, Rei
;
Matsuda, Yasumasa
-
2024
Persistent link: https://www.econbiz.de/10014526627
Saved in:
8
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
9
Real-time forecast of DSGE models with time-varying volatility in
GARCH
form
Ivashchenko, Sergey
;
Ҫekin, Semih Emre
;
Gupta, Rangan
-
2022
Persistent link: https://www.econbiz.de/10012800653
Saved in:
10
Measuring Interdependence of Inflation Uncertainty
Lee, Seohyun
-
2022
VAR
GARCH
model. The interdependence of uncertainty is estimated using a probability model. The results imply that the …
Persistent link: https://www.econbiz.de/10014078814
Saved in:
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