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~institution:"Centre for Analytical Finance <Århus>"
~subject:"ARCH-Modell"
~subject:"Statistischer Test"
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ARCH-Modell
Statistischer Test
Theorie
70
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70
Option pricing theory
14
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14
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11
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Lunde, Asger
3
Hansen, Peter Reinhard
2
Rahbek, Anders
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Taulbjerg, Jes
2
Barndorff-Nielsen, Ole E.
1
Christiansen, Charlotte
1
Jakubenas, Paulius
1
Jensen, Morten Berg
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1
Kristensen, Dennis
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Centre for Analytical Finance <Århus>
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
28
National Bureau of Economic Research
20
OECD
14
Ekonomiska forskningsinstitutet <Stockholm>
9
Center for Economic Research <Tilburg>
8
Organisation for Economic Co-operation and Development
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European University Institute / Department of Economics
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Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
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Springer Fachmedien Wiesbaden
3
University of California Davis / Department of Economics
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Virginia Polytechnic Institute and State University / Department of Economics
3
Aarhus Universitet / Afdeling for Nationaløkonomi
2
Centre for Quantitative Economics & Computing
2
Erasmus Research Institute of Management
2
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2
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Conference State Space and Unobserved Component Models <2002, Amsterdam>
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Cornell University / Department of Applied Economics and Management
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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ECONIS (ZBW)
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Testing the significance of calendar effects
Hansen, Peter Reinhard
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contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732977
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2
Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of volatility models
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732980
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3
Cointegration and exponential-affine models of the term structure
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709212
Saved in:
4
Conditional moment testing, term premia and affine term structural models
Taulbjerg, Jes
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001709215
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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
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6
Asymptotics of the QMLE for a class of ARCH(q) models
Kristensen, Dennis
(
contributor
);
Rahbek, Anders
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702284
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7
Anyway, can we price European options with Lévy processes?
Jakubenas, Paulius
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001702320
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8
The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg
(
contributor
);
Lunde, Asger
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
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9
Efficient inference in multivariate fractionally integrated time series models
Ørregaard Nielsen, Morten
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001922185
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10
Long memory ARCH models : specification and quasi-maximum likelihood estimation
Koulikov, Dmitri
(
contributor
)
-
2003
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001851132
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