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~person:"Harvey, Andrew C."
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Search: subject:"ARCH model"
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ARCH model
12
ARCH-Modell
12
Time series analysis
8
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6
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6
Volatility
6
Volatilität
6
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1
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12
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Harvey, Andrew C.
McAleer, Michael
209
Chang, Chia-Lin
82
Gupta, Rangan
72
Ma, Feng
63
Bauwens, Luc
61
Engle, Robert F.
61
Hafner, Christian M.
60
Teräsvirta, Timo
56
Caporale, Guglielmo Maria
53
Caporin, Massimiliano
51
Karanasos, Menelaos
44
Francq, Christian
43
Bouri, Elie
42
Conrad, Christian
40
Laurent, Sébastien
40
Herwartz, Helmut
39
Rombouts, Jeroen V. K.
38
Zakoïan, Jean-Michel
37
Paolella, Marc S.
36
Asai, Manabu
34
Bollerslev, Tim
32
Kumar, Dilip
32
McMillan, David G.
32
Serletis, Apostolos
32
Zhang, Yaojie
32
Ardia, David
30
Linton, Oliver
29
Rahbek, Anders
29
Saikkonen, Pentti
28
Allen, David E.
27
Kang, Sang Hoon
27
Mittnik, Stefan
27
Silvennoinen, Annastiina
27
Christoffersen, Peter F.
26
Hammoudeh, Shawkat
26
Hansen, Peter Reinhard
26
Tiwari, Aviral Kumar
26
Wang, Yudong
26
Degiannakis, Stavros
25
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25
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Cambridge working papers in economics
7
Forecasting volatility in the financial markets
1
Handbook of economic forecasting ; Vol. 1
1
Journal of econometrics
1
Journal of empirical finance
1
Temi di discussione / Banca d'Italia
1
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ECONIS (ZBW)
12
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1
Score-driven time series models
Harvey, Andrew C.
-
2021
Persistent link: https://www.econbiz.de/10013257426
Saved in:
2
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
3
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
-
2019
Persistent link: https://www.econbiz.de/10012703124
Saved in:
4
Volatility modeling with a generalized t-distribution
Harvey, Andrew C.
;
Lange, Rutger-Jan
-
2015
Persistent link: https://www.econbiz.de/10011285967
Saved in:
5
Modeling the interactions between volatility and returns
Harvey, Andrew C.
;
Lange, Rutger-Jan
-
2015
Persistent link: https://www.econbiz.de/10011312241
Saved in:
6
Two EGARCH models and one fat tail
Caivano, Michele
;
Harvey, Andrew C.
-
2014
Persistent link: https://www.econbiz.de/10010495720
Saved in:
7
Testing against changing correlation
Harvey, Andrew C.
;
Thiele, Stephen
-
2014
Persistent link: https://www.econbiz.de/10010504846
Saved in:
8
Testing against changing correlation
Harvey, Andrew C.
;
Thiele, Stephen
- In:
Journal of empirical finance
38
(
2016
),
pp. 575-589
Persistent link: https://www.econbiz.de/10011663373
Saved in:
9
Exponential conditional volatility models
Harvey, Andrew C.
-
2010
Persistent link: https://www.econbiz.de/10008649425
Saved in:
10
Beta-t-(E)GARCH
Harvey, Andrew C.
;
Chakravarty, Tirthankar
-
2008
Persistent link: https://www.econbiz.de/10003851030
Saved in:
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