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A Robust Entropy-Based Test of...
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ARCH model
Zeitreihenanalyse
28,616
Time series analysis
28,199
Theorie
13,409
Theory
13,384
Schätztheorie
5,902
Estimation theory
5,893
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5,712
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5,690
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5,687
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3,168
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3,165
USA
2,844
United States
2,838
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2,212
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2,129
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2,125
Konjunktur
1,965
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1,960
Börsenkurs
1,892
Share price
1,885
Entropie
1,870
ARCH-Modell
1,803
Capital income
1,758
Kapitaleinkommen
1,758
VAR model
1,516
VAR-Modell
1,513
Stochastischer Prozess
1,429
Stochastic process
1,417
time series
1,416
State space model
1,399
Zustandsraummodell
1,397
Unit root test
1,352
Einheitswurzeltest
1,351
Structural break
1,215
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1,215
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1,121
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McAleer, Michael
54
Teräsvirta, Timo
29
Caporin, Massimiliano
21
Lütkepohl, Helmut
20
Koopman, Siem Jan
17
Gupta, Rangan
16
Bauwens, Luc
15
Chang, Chia-Lin
14
Lucas, André
14
Hafner, Christian M.
13
Hansen, Peter Reinhard
13
Huang, Zhuo
12
Saikkonen, Pentti
12
Allen, David E.
11
Francq, Christian
11
Hallin, Marc
11
Medeiros, Marcelo C.
11
Rombouts, Jeroen V. K.
11
Silvennoinen, Annastiina
11
Conrad, Christian
10
Engle, Robert F.
10
Li, Wai Keung
10
Nelson, Daniel B.
10
Nielsen, Morten Ørregaard
10
Rahbek, Anders
10
Ruiz, Esther
10
Blazsek, Szabolcs
9
Dijk, Dick van
9
Kumar, Dilip
9
Meitz, Mika
9
Asai, Manabu
8
Blasques, Francisco
8
Caporale, Guglielmo Maria
8
Chen, Xiaohong
8
Gonçalves, Sílvia
8
Harvey, Andrew C.
8
Lux, Thomas
8
Shephard, Neil G.
8
Carnero, M. Angeles
7
Franses, Philip Hans
7
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Centre for Analytical Finance <Århus>
5
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Ekonomiska forskningsinstitutet <Stockholm>
3
Econometrisch Instituut <Rotterdam>
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Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
National Bureau of Economic Research
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2
Center for Economic Research <Tilburg>
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
European University Institute / Department of Economics
1
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1
Gottfried Wilhelm Leibniz Universität Hannover
1
International Center for Financial Asset Management and Engineering
1
International Workshop on Statistics and Finance <1999, Hongkong>
1
Konjunkturinstitutet <Stockholm>
1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
Springer Fachmedien Wiesbaden
1
Suntory and Toyota International Centres for Economics and Related Disciplines
1
Taylor and Francis.
1
University of Chicago / Graduate School of Business
1
University of Chicago / Graduate School of Business / Department of Economics
1
University of Strathclyde / Department of Economics
1
Université de Montréal / Département de sciences économiques
1
Westfälische Wilhelms-Universität Münster
1
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Journal of econometrics
43
Discussion paper / Tinbergen Institute
42
Journal of empirical finance
36
Economic modelling
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Energy economics
30
International journal of forecasting
30
Applied economics
27
Economics letters
27
Finance research letters
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
The North American journal of economics and finance : a journal of financial economics studies
23
CREATES research paper
19
International review of financial analysis
19
Journal of risk and financial management : JRFM
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of forecasting
18
Working paper
18
International review of economics & finance : IREF
16
Research in international business and finance
16
Econometric Institute research papers
15
Econometric reviews
15
International Journal of Energy Economics and Policy : IJEEP
14
Journal of banking & finance
14
The econometrics journal
14
Journal of financial econometrics
13
Journal of time series econometrics
13
Econometrics : open access journal
12
International journal of economics and financial issues : IJEFI
12
Computational economics
11
Journal of international financial markets, institutions & money
11
Journal of risk
11
Applied financial economics
10
Econometric theory
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International journal of economics and finance
9
The European journal of finance
9
CBN journal of applied statistics
8
CORE discussion papers : DP
8
ECARES working paper
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ECONIS (ZBW)
1,803
RePEc
1
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61
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61
Modelling long memory in stock market volatility : a fractionally integrated generalised ARCH approach
Psaradakis, Zacharias G.
;
Sola, Martin
-
1995
Persistent link: https://www.econbiz.de/10000906276
Saved in:
62
Random coefficient formulation of conditional heteroskedasticity and augmented Arch models
Bera, Anil K.
;
Higgins, Matthew Lawrence
;
Lee, Sangkyu
-
1995
Persistent link: https://www.econbiz.de/10000911331
Saved in:
63
Autoregressive conditional heteroskedasticity and changes in regime
Hamilton, James D.
;
Susmel, Raul
-
1993
Persistent link: https://www.econbiz.de/10000877974
Saved in:
64
A permanent and transitory component model of stock return volatility
Engle, Robert F.
;
Lee, Gary G. J.
-
1993
-
[Rev.]
Persistent link: https://www.econbiz.de/10000877975
Saved in:
65
Arch models
Bollerslev, Tim
;
Engle, Robert F.
;
Nelson, Daniel B.
-
1993
Persistent link: https://www.econbiz.de/10000878183
Saved in:
66
Fractionally integrated models with ARCH errors
Hauser, Michael A.
;
Kunst, Robert M.
-
1994
Persistent link: https://www.econbiz.de/10000882159
Saved in:
67
Chaos and conditional heteroskedasticity - an experimental study
Kam, Simon W.
-
1996
Persistent link: https://www.econbiz.de/10000933312
Saved in:
68
A Tobit model with GARCH errors
Calzolari, Giorgio
;
Fiorentini, Gabriele
-
1997
-
1. ed
Persistent link: https://www.econbiz.de/10000960186
Saved in:
69
Temporal aggregation of GARCH processes
Drost, Feike C.
;
Nijman, Theodore E.
-
1992
-
Rev
Persistent link: https://www.econbiz.de/10000847144
Saved in:
70
Filtering and forecasting with misspecified ARCH models II : making the right forecast with the wrong model
Nelson, Daniel B.
;
Foster, Dean P.
-
1992
Persistent link: https://www.econbiz.de/10000849719
Saved in:
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