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~isPartOf:"Journal of econometrics"
~subject:"ARCH model"
~subject:"Volatilität"
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Testing fractional persistence...
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ARCH model
Volatilität
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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214
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214
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193
Prognoseverfahren
193
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191
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USA
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United States
124
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119
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119
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118
Kointegration
117
Statistical distribution
111
Statistische Verteilung
111
Bayes-Statistik
108
Bayesian inference
108
Method of moments
100
Momentenmethode
100
ARCH-Modell
98
Bootstrap approach
98
Bootstrap-Verfahren
98
Capital income
98
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98
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Todorov, Viktor
15
Bollerslev, Tim
13
Tauchen, George Eugene
11
Andersen, Torben
9
Francq, Christian
9
McAleer, Michael
8
Zakoïan, Jean-Michel
8
Aït-Sahalia, Yacine
7
Kim, Donggyu
6
Li, Jia
6
Park, Joon Y.
6
Ghysels, Eric
5
Li, Yingying
5
Patton, Andrew J.
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Cavaliere, Giuseppe
4
Hallin, Marc
4
Meddahi, Nour
4
Paolella, Marc S.
4
Renault, Eric
4
Shephard, Neil G.
4
Taylor, Robert
4
Andreou, Elena
3
Asai, Manabu
3
Blasques, F.
3
Christensen, Kim
3
Fan, Jianqing
3
Gouriéroux, Christian
3
Jasiak, Joann
3
Kong, Xin-Bing
3
Koopman, Siem Jan
3
Li, Guodong
3
Medeiros, Marcelo C.
3
Mykland, Per A.
3
Nielsen, Morten Ørregaard
3
Rahbek, Anders
3
Rombouts, Jeroen V. K.
3
Teräsvirta, Timo
3
Varneskov, Rasmus Tangsgaard
3
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Journal of econometrics
Energy economics
281
Finance research letters
247
NBER working paper series
235
Working paper / National Bureau of Economic Research, Inc.
224
Applied economics
211
NBER Working Paper
210
Economic modelling
203
Journal of banking & finance
194
International review of financial analysis
187
Journal of empirical finance
173
Discussion paper / Tinbergen Institute
170
International review of economics & finance : IREF
170
Economics letters
167
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
152
The North American journal of economics and finance : a journal of financial economics studies
146
Working paper
145
Applied economics letters
130
International journal of forecasting
129
Journal of international money and finance
124
Journal of international financial markets, institutions & money
114
Research in international business and finance
114
The journal of futures markets
114
Applied financial economics
113
Discussion paper / Centre for Economic Policy Research
113
The European journal of finance
106
Journal of risk and financial management : JRFM
103
Journal of economic dynamics & control
101
Journal of financial economics
101
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
101
International journal of theoretical and applied finance
96
Journal of forecasting
95
Econometric reviews
92
CESifo working papers
89
Journal of financial econometrics : official journal of the Society for Financial Econometrics
87
Quantitative finance
85
CREATES research paper
80
Mathematical finance : an international journal of mathematics, statistics and financial theory
75
International journal of finance & economics : IJFE
74
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
73
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ECONIS (ZBW)
276
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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
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
3
Level shift
estimation
in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
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
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:
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
High dimensional dynamic stochastic copula models
Creal, Drew
;
Tsay, Ruey S.
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
Saved in:
9
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:
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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