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~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~isPartOf:"Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund"
~subject:"ARCH-Modell"
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ARCH-Modell
Zeitreihenanalyse
1,401
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1,400
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819
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819
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582
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582
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Francq, Christian
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Zaffaroni, Paolo
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Zakoïan, Jean-Michel
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Barigozzi, Matteo
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Catania, Leopoldo
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Li, Wai Keung
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Lucas, André
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Lyócsa, Štefan
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Zhu, Ke
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1
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International journal of forecasting
Journal of econometrics
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
Discussion paper / Tinbergen Institute
49
Journal of empirical finance
37
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
30
Finance research letters
29
Applied economics
27
Economics letters
27
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
The North American journal of economics and finance : a journal of financial economics studies
21
CREATES research paper
19
International review of financial analysis
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Working paper
19
Journal of forecasting
18
Journal of risk and financial management : JRFM
18
Econometric reviews
17
Research in international business and finance
16
Econometric Institute research papers
15
International review of economics & finance : IREF
15
The econometrics journal
15
Econometrics : open access journal
14
Journal of banking & finance
14
International Journal of Energy Economics and Policy : IJEEP
13
Journal of financial econometrics
13
Journal of time series econometrics
13
International journal of economics and financial issues : IJEFI
12
Computational economics
11
Econometric theory
11
Journal of international financial markets, institutions & money
11
Journal of risk
11
Applied financial economics
10
SSE EFI working paper series in economics and finance
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
9
Applied economics letters
8
CORE discussion papers : DP
8
ECARES working paper
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ECONIS (ZBW)
86
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1
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
Saved in:
2
Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
Saved in:
3
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia
;
Kilian, Lutz
- In:
Journal of econometrics
123
(
2004
)
1
,
pp. 89-120
Persistent link: https://www.econbiz.de/10002223733
Saved in:
4
Inference in VARs with conditional heteroskedasticity of unknown form
Brüggemann, Ralf
;
Jentsch, Carsten
;
Trenkler, Carsten
- In:
Journal of econometrics
191
(
2016
)
1
,
pp. 69-85
Persistent link: https://www.econbiz.de/10011594405
Saved in:
5
Conditional asymmetry in Power ARCH(∞) models
Royer, Julien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 178-204
Persistent link: https://www.econbiz.de/10014364731
Saved in:
6
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
7
Bootstrapping nonparametric estimators of the volatility function
Franke, Jürgen
;
Neumann, Michael H.
;
Stockis, Jean-Pierre
- In:
Journal of econometrics
118
(
2004
)
1/2
,
pp. 189-218
Persistent link: https://www.econbiz.de/10001823125
Saved in:
8
Bootstrap prediction intervals for ARCH models
Reeves, Jonathan J.
- In:
International journal of forecasting
21
(
2005
)
2
,
pp. 237-248
Persistent link: https://www.econbiz.de/10002687767
Saved in:
9
Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
Corradi, Valentina
;
Iglesias, Emma M.
- In:
Journal of econometrics
144
(
2008
)
2
,
pp. 500-510
Persistent link: https://www.econbiz.de/10003774696
Saved in:
10
Bootstrapping realized multivariate volatility measures
Dovonon, Prosper
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Journal of econometrics
172
(
2013
)
1
,
pp. 49-65
Persistent link: https://www.econbiz.de/10009702319
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