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ARCH model
Theorie
1,610
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1,610
Estimation theory
802
Schätztheorie
802
Zeitreihenanalyse
677
Time series analysis
674
Estimation
466
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Francq, Christian
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Zakoïan, Jean-Michel
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Paolella, Marc S.
4
Andreou, Elena
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Kim, Donggyu
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Li, Guodong
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Rombouts, Jeroen V. K.
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Laurent, Sébastien
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Li, Wai Keung
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Meddahi, Nour
2
Ng, Serena
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Park, Joon Y.
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Patton, Andrew J.
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Polak, Pawel
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Seo, Byeongseon
2
Teräsvirta, Timo
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Tse, Yiu Kuen
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Journal of econometrics
Energy economics
121
Finance research letters
100
Applied economics
93
Journal of empirical finance
86
Economic modelling
81
International review of financial analysis
75
Discussion paper / Tinbergen Institute
70
International journal of forecasting
66
International review of economics & finance : IREF
63
The North American journal of economics and finance : a journal of financial economics studies
63
Economics letters
57
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Research in international business and finance
55
Journal of banking & finance
54
Journal of international financial markets, institutions & money
53
Journal of risk and financial management : JRFM
52
Journal of forecasting
51
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
50
Applied economics letters
47
Journal of financial econometrics : official journal of the Society for Financial Econometrics
46
Working paper
43
Econometric theory
42
The European journal of finance
41
Applied financial economics
38
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Econometric Institute research papers
36
Econometric reviews
36
International journal of economics and financial issues : IJEFI
32
International Journal of Energy Economics and Policy : IJEEP
30
The econometrics journal
30
Computational economics
29
International journal of finance & economics : IJFE
29
Journal of financial econometrics
28
Journal of risk
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CREATES research paper
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ECONIS (ZBW)
98
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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
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:
5
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:
6
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:
7
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
Saved in:
8
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:
9
R-
estimation
in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
Saved in:
10
Linear double autoregression
Zhu, Qianqian
;
Zheng, Yao
;
Li, Guodong
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
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