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~isPartOf:"Journal of econometrics"
~subject:"ARCH model"
~subject:"Prognoseverfahren"
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ARCH model
Prognoseverfahren
Theorie
1,610
Theory
1,610
Estimation theory
802
Schätztheorie
802
Zeitreihenanalyse
677
Time series analysis
674
Estimation
466
Schätzung
462
Nichtparametrisches Verfahren
267
Nonparametric statistics
267
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226
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226
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214
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214
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193
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108
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100
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100
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98
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98
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98
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Patton, Andrew J.
10
Francq, Christian
9
Swanson, Norman R.
8
Zakoïan, Jean-Michel
8
Timmermann, Allan
7
Bollerslev, Tim
6
Ghysels, Eric
6
Corradi, Valentina
5
Diebold, Francis X.
5
Dijk, Herman K. van
5
Kapetanios, George
5
Kim, Donggyu
5
Linton, Oliver
5
Ng, Serena
5
Andreou, Elena
4
Elliott, Graham
4
Fan, Jianqing
4
Hong, Yongmiao
4
Koop, Gary
4
Paolella, Marc S.
4
Rombouts, Jeroen V. K.
4
Schorfheide, Frank
4
Zhang, Xinyu
4
Andersen, Torben
3
Bauwens, Luc
3
Giacomini, Raffaella
3
Gonçalves, Sílvia
3
Granger, C. W. J.
3
Hallin, Marc
3
Koopman, Siem Jan
3
Korobilis, Dimitris
3
Laurent, Sébastien
3
Lee, Tae-hwy
3
Li, Guodong
3
Marcellino, Massimiliano
3
McCracken, Michael W.
3
Park, Joon Y.
3
Pesaran, M. Hashem
3
Pettenuzzo, Davide
3
Pick, Andreas
3
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National Bureau of Economic Research
1
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1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
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Journal of econometrics
International journal of forecasting
958
Journal of forecasting
568
Energy economics
246
Finance research letters
238
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
225
Applied economics
222
Economic modelling
216
Discussion paper / Tinbergen Institute
194
Journal of empirical finance
182
Economics letters
172
Journal of banking & finance
166
Working paper
165
International review of financial analysis
161
Applied economics letters
146
European journal of operational research : EJOR
137
NBER working paper series
133
The North American journal of economics and finance : a journal of financial economics studies
131
NBER Working Paper
127
International review of economics & finance : IREF
126
Computational economics
125
Working paper / National Bureau of Economic Research, Inc.
124
Discussion paper / Centre for Economic Policy Research
123
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
123
Working paper / Department of Econometrics and Business Statistics, Monash University
113
Journal of applied econometrics
112
CESifo working papers
107
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
104
Journal of risk and financial management : JRFM
99
The European journal of finance
99
CREATES research paper
95
Research in international business and finance
93
Journal of international money and finance
91
Risks : open access journal
90
Technological forecasting & social change : an international journal
90
Journal of international financial markets, institutions & money
89
Econometric Institute research papers
87
Management science : journal of the Institute for Operations Research and the Management Sciences
87
Journal of financial economics
84
Econometric reviews
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ECONIS (ZBW)
274
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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
Detecting big structural breaks in large factor models
Chen, Liang
;
Dolado, Juan J.
;
Gonzalo, Jesús
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 30-48
Persistent link: https://www.econbiz.de/10010379487
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
Large time-varying parameter VARs
Koop, Gary
;
Korobilis, Dimitris
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 185-198
Persistent link: https://www.econbiz.de/10010254877
Saved in:
7
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:
8
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:
9
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:
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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