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Search: subject:"log-GARCH"
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Log-GARCH
10
EGARCH
8
ARCH model
7
ARCH-Modell
7
log-GARCH
6
ARCH
5
ARMA
5
Estimation theory
5
Schätztheorie
5
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5
Volatilität
5
Exponential GARCH
4
Time series analysis
4
Zeitreihenanalyse
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exponential GARCH
4
Maximum likelihood estimation
3
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3
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Sucarrat, Genaro
9
Escribano, Álvaro
5
Francq, Christian
5
Escribano, Alvaro
3
Wintenberger, Olivier
3
Zakoïan, Jean-Michel
3
Hafner, Christian M.
2
Kyriakopoulou, Dimitra
2
Bee, Marco
1
Beran, Jan
1
Feng, Yuanhua
1
Ghosh, Sucharita
1
Grønneberg, Steffen
1
Letmathe, Sebastian
1
Pourkhanali, Armin
1
Tafakori, Laleh
1
Torrado, María
1
Visser, Marcel P.
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
4
Departamento de Economía, Universidad Carlos III de Madrid
2
Instituto de Ciencias Sociales, Instituto Madrileño de Estudios Avanzados (IMDEA)
1
Université Paris-Dauphine (Paris IX)
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Energy economics
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International review of financial analysis
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ECONIS (ZBW)
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1
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
2
European gasoline markets : price transmission asymmetries in mean and variance
Torrado, María
;
Escribano, Álvaro
-
2020
Persistent link: https://www.econbiz.de/10012158754
Saved in:
3
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
-
2019
Persistent link: https://www.econbiz.de/10012215031
Saved in:
4
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
5
Fractionally integrated
Log-GARCH
with application to value at risk and expected shortfall
Feng, Yuanhua
;
Beran, Jan
;
Letmathe, Sebastian
;
Ghosh, …
-
2020
Persistent link: https://www.econbiz.de/10012508904
Saved in:
6
Estimation of
log-GARCH
models in the presence of zero returns
Sucarrat, Genaro
;
Escribano, Álvaro
- In:
The European journal of finance
24
(
2018
)
10/12
,
pp. 809-827
Persistent link: https://www.econbiz.de/10012244412
Saved in:
7
An exponential Chi-squared QMLE for
log-GARCH
models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
8
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
- In:
Energy economics
74
(
2018
),
pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
Saved in:
9
Unbiased QML Estimation of
Log-GARCH
Models in the Presence of Zero Returns
Sucarrat, Genaro
;
Escribano, Álvaro
-
Departamento de Economía, Universidad Carlos III de Madrid
-
2013
A critique that has been directed towards the
log-GARCH
model is that its logvolatility specification does not exist in …
Persistent link: https://www.econbiz.de/10010861823
Saved in:
10
Estimation and Inference in Univariate and Multivariate
Log-GARCH
-X Models When the Conditional Density is Unknown
Sucarrat, Genaro
;
Grønneberg, Steffen
;
Escribano, Alvaro
-
Volkswirtschaftliche Fakultät, …
-
2013
-ARCH-X (i.e.
log-GARCH
-X) models when the conditional density is not known via (V)ARMA-X representations. The multivariate …
Persistent link: https://www.econbiz.de/10011185384
Saved in:
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