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~isPartOf:"Journal of econometrics"
~subject:"ARCH model"
~subject:"Statistical distribution"
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ARCH model
Statistical distribution
Theorie
1,610
Theory
1,610
Estimation theory
802
Schätztheorie
802
Zeitreihenanalyse
677
Time series analysis
674
Estimation
466
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462
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Francq, Christian
9
Zakoïan, Jean-Michel
8
Bollerslev, Tim
6
Park, Joon Y.
5
Hong, Yongmiao
4
Linton, Oliver
4
McAleer, Michael
4
Paolella, Marc S.
4
Patton, Andrew J.
4
Todorov, Viktor
4
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3
Chang, Chia-Lin
3
Corradi, Valentina
3
Dijk, Herman K. van
3
Dufour, Jean-Marie
3
Ghysels, Eric
3
Hallin, Marc
3
Kim, Donggyu
3
Li, Guodong
3
Ling, Shiqing
3
Rombouts, Jeroen V. K.
3
Swanson, Norman R.
3
Barigozzi, Matteo
2
Blasques, F.
2
Bücher, Axel
2
Caporin, Massimiliano
2
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2
Chan, Ngai Hang
2
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2
Chen, Bin
2
Gonçalves, Sílvia
2
Harvey, Andrew C.
2
Jin, Xin
2
Kapetanios, George
2
Khalaf, Lynda
2
Kim, Chang Sik
2
Laurent, Sébastien
2
Lewbel, Arthur
2
Li, Wai Keung
2
Maheu, John M.
2
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Association of Asia-Pacific Business School's Academic Conference <2018, Hongkong>
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Journal of econometrics
Insurance / Mathematics & economics
158
Discussion paper / Tinbergen Institute
144
Energy economics
131
Finance research letters
126
Applied economics
125
International journal of forecasting
115
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
110
Economics letters
109
Journal of empirical finance
106
Economic modelling
102
International review of financial analysis
95
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88
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85
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77
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
77
The North American journal of economics and finance : a journal of financial economics studies
76
Applied economics letters
74
Econometric reviews
74
International review of economics & finance : IREF
71
Econometric theory
70
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65
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61
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61
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60
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56
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55
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55
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50
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47
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47
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45
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45
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44
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42
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42
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41
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39
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ECONIS (ZBW)
198
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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
Evaluating trends in time series of distributions : a spatial fingerprint of human effects on climate
Chang, Yoosoon
;
Kaufmann, Robert Kurt
;
Kim, Chang Sik
; …
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 274-294
Persistent link: https://www.econbiz.de/10012438324
Saved in:
3
Nonstationarity in time series of state densities
Chang, Yoosoon
;
Kim, Chang Sik
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 152-167
Persistent link: https://www.econbiz.de/10011617129
Saved in:
4
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:
5
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:
6
Understanding temporal aggregation effects on kurtosis in financial indices
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 25-46
Persistent link: https://www.econbiz.de/10013441621
Saved in:
7
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:
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
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, Paul
;
Sardy, S.
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
Saved in:
10
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
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