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~subject:"ARCH model"
~subject:"Kapitaleinkommen"
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ARCH model
Kapitaleinkommen
Theorie
1,610
Theory
1,610
Estimation theory
802
Schätztheorie
802
Zeitreihenanalyse
677
Time series analysis
674
Estimation
466
Schätzung
462
Nichtparametrisches Verfahren
267
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111
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Bayes-Statistik
108
Bayesian inference
108
Method of moments
100
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98
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98
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Francq, Christian
9
Todorov, Viktor
9
Zakoïan, Jean-Michel
8
Bollerslev, Tim
7
Meddahi, Nour
5
Xiu, Dacheng
5
Andersen, Torben
4
Andreou, Elena
4
Paolella, Marc S.
4
Rombouts, Jeroen V. K.
4
Tauchen, George Eugene
4
Hallin, Marc
3
Kapetanios, George
3
Kim, Donggyu
3
Li, Guodong
3
Li, Yingying
3
McAleer, Michael
3
Park, Joon Y.
3
Patton, Andrew J.
3
Renault, Eric
3
Shephard, Neil G.
3
Asai, Manabu
2
Aït-Sahalia, Yacine
2
Barigozzi, Matteo
2
Bekaert, Geert
2
Blasques, F.
2
Demetrescu, Matei
2
Diebold, Francis X.
2
Fan, Jianqing
2
Ghysels, Eric
2
Gonçalves, Sílvia
2
Hong, Yongmiao
2
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2
Koopman, Siem Jan
2
Laurent, Sébastien
2
Li, Jia
2
Li, Wai Keung
2
Liao, Yuan
2
Mykland, Per A.
2
Ng, Serena
2
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Journal of econometrics
Finance research letters
319
NBER working paper series
278
Journal of banking & finance
274
Working paper / National Bureau of Economic Research, Inc.
261
Journal of empirical finance
259
International review of financial analysis
245
Journal of financial economics
223
Applied economics
217
NBER Working Paper
213
International review of economics & finance : IREF
202
Economic modelling
173
Energy economics
164
The North American journal of economics and finance : a journal of financial economics studies
157
Applied financial economics
153
Applied economics letters
150
Economics letters
145
The European journal of finance
136
Journal of international financial markets, institutions & money
132
Research in international business and finance
127
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
126
The journal of finance : the journal of the American Finance Association
114
International journal of forecasting
111
Review of quantitative finance and accounting
110
Journal of risk and financial management : JRFM
105
Working paper
105
Journal of forecasting
102
Discussion paper / Tinbergen Institute
100
The review of financial studies
98
Pacific-Basin finance journal
97
Management science : journal of the Institute for Operations Research and the Management Sciences
90
Journal of economic dynamics & control
87
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
86
Journal of international money and finance
85
Discussion paper / Centre for Economic Policy Research
83
Journal of financial econometrics : official journal of the Society for Financial Econometrics
83
Research paper series / Swiss Finance Institute
80
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
80
Journal of financial and quantitative analysis : JFQA
78
CESifo working papers
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ECONIS (ZBW)
178
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1
Threshold models in time series analysis : some reflections
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Saved in:
2
Nonlinear models for strongly dependent processes with financial applications
Baillie, Richard
;
Kapetanios, George
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 60-71
Persistent link: https://www.econbiz.de/10003783785
Saved in:
3
Distribution
theory
for unit root tests with conditional heteroskedasticity
Seo, Byeongseon
- In:
Journal of econometrics
91
(
1999
)
1
,
pp. 113-144
Persistent link: https://www.econbiz.de/10001382163
Saved in:
4
Instrumental variable and variable addition based inference in predictive regressions
Breitung, Jörg
;
Demetrescu, Matei
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 358-375
Persistent link: https://www.econbiz.de/10011499478
Saved in:
5
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
Saved in:
6
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
7
Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
8
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
9
The detection and
estimation
of long memory in stochastic volatility
Breidt, F. Jay
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
Saved in:
10
Estimation
of dynamic and ARCH Tobit models
Lee, Lung-fei
- In:
Journal of econometrics
92
(
1999
)
2
,
pp. 355-390
Persistent link: https://www.econbiz.de/10001400177
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