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Nielsen, Morten Ørregaard
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Teräsvirta, Timo
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Johansen, Søren
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Kristensen, Dennis
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Podolskij, Mark
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Rahbek, Anders
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CREATES research paper
Journal of econometrics
1,737
Economics letters
1,061
Econometric theory
765
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
661
Econometric reviews
482
Discussion paper / Tinbergen Institute
387
CEMMAP working papers / Centre for Microdata Methods and Practice
368
NBER Working Paper
349
Applied economics
327
Journal of the American Statistical Association : JASA
327
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
325
NBER working paper series
316
Energy economics
308
The econometrics journal
298
Economic modelling
285
Applied economics letters
270
Finance research letters
268
Journal of applied econometrics
257
Série des documents de travail / Centre de Recherche en Économie et Statistique
246
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
243
International journal of forecasting
236
Working paper / National Bureau of Economic Research, Inc.
235
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
221
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Oxford bulletin of economics and statistics
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194
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Journal of quantitative economics : official journal of the Indian Econometric Society
180
Journal of banking & finance
179
Working paper / Department of Econometrics and Business Statistics, Monash University
175
Econometrics : open access journal
170
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
167
International review of financial analysis
159
The review of economics and statistics
155
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ECONIS (ZBW)
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1
On IGARCH and convergence of the QMLE for misspecified GARCH models
Tolver Jensen, Anders
;
Lange, Theis
-
2009
Persistent link: https://www.econbiz.de/10003849498
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2
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2011
Persistent link: https://www.econbiz.de/10009152328
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3
Nonstationary ARCH and GARCH with t-distributed innovations
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2015
Persistent link: https://www.econbiz.de/10010529443
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4
Multivariate variance targeting in the BEKK-GARCH Model
Pedersen, Rasmus Søndergaard
;
Rahbek, Anders
-
2012
Persistent link: https://www.econbiz.de/10009667363
Saved in:
5
A Lagrange multiplier test for testing the adequacy of the constant conditional correlation GARCH model
Catani, Paul
;
Teräsvirta, Timo
;
Yin, Meiqun
-
2014
Persistent link: https://www.econbiz.de/10010237808
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6
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
7
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
8
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
9
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:
10
Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2017
Persistent link: https://www.econbiz.de/10011721042
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