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Search: subject:"ARCH Models"
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Schätztheorie
ARCH models
54
Volatility
20
ARCH-Modell
18
ARCH model
17
Volatilität
14
Estimation
10
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10
ARCH Models
9
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8
volatility
7
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Arch Models
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3
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India
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Indien
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Markov switching ARCH models
3
Theorie
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Theory
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asymmetry
3
beta estimation
3
composite likelihood
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energy consumption volatility
3
heteroscedasticity
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interval effect
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long memory
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periodogram
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semiparametric estimation
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Sucarrat, Genaro
2
Ashley, Richard A.
1
Bohn Nielsen, Heino
1
Brzeszczyński, Janusz
1
Cavaliere, Giuseppe
1
Engle, Robert F.
1
Francq, Christian
1
Gajdka, Jerzy
1
Grønneberg, Steffen
1
Kumari, Jyoti
1
Mahakud, Jitendra
1
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1
Pedersen, Rasmus Søndergaard
1
Rahbek, Anders
1
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Asia-Pacific financial markets
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
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1
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
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2
Conditional asymmetry in
ARCH
models
Royer, Julien
-
2020
Persistent link: https://www.econbiz.de/10012429896
Saved in:
3
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
4
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
5
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
6
Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India
Kumari, Jyoti
;
Mahakud, Jitendra
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 87-111
Persistent link: https://www.econbiz.de/10010511544
Saved in:
7
On the origins of conditional heteroscedasticity in time series
Ashley, Richard A.
- In:
The Korean economic review
28
(
2012
)
1
,
pp. 5-25
Persistent link: https://www.econbiz.de/10010192152
Saved in:
8
The role of stock and trading intensity in the Magnitude of the interval effect in beta estimation : empirical evidence from Polish capital market
Brzeszczyński, Janusz
;
Gajdka, Jerzy
;
Schabek, Tomasz
- In:
Emerging markets finance & trade : a journal of the …
47
(
2011
)
1
,
pp. 28-49
Persistent link: https://www.econbiz.de/10009299108
Saved in:
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