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ARCH model
Theorie
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97
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58
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58
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57
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57
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English
53
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Engle, Robert F.
52
Ledoit, Olivier
7
Sheppard, Kevin
7
Wolf, Michael
7
De Nard, Gianluca
4
Bollerslev, Tim
3
Diebold, Francis X.
3
Rangel, Jose Gonzalo
3
Shephard, Neil G.
3
Barone-Adesi, Giovanni
2
Burns, Patrick
2
Cappiello, Lorenzo
2
Lee, Gary G. J.
2
Mancini, Loriano
2
Mezrich, Joseph
2
Nelson, Daniel B.
2
Rosenberg, Joshua V.
2
Russell, Jeffrey R.
2
Siriwardane, Emil N.
2
Susmel, Raul
2
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1
Binsbergen, Jules H. van
1
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1
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1
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1
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1
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1
Granger, C. W. J.
1
Hassler, Uwe
1
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1
Pakel, Cavit
1
Patton, Andrew J.
1
Rangel, Jose G.
1
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1
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Discussion paper / Department of Economics, University of California San Diego
11
Working paper series / University of Zurich, Department of Economics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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3
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3
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3
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ECONIS (ZBW)
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Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim
(
ed.
);
Engle, Robert F.
(
honouree
); …
-
2010
-
1. publ.
Persistent link: https://www.econbiz.de/10003861657
Saved in:
2
The Nobel memorial prize for Robert Engle
Diebold, Francis X.
(
contributor
);
Engle, Robert F.
(
honouree
)
-
2004
Persistent link: https://www.econbiz.de/10003229527
Saved in:
3
Zeitabhängige Volatilität und instationäre Zeitreihen : zum Nobelpreis an Robert F. Engle und Clive W. J. Granger
Hassler, Uwe
- In:
Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik
83
(
2003
)
12
,
pp. 811-816
Persistent link: https://www.econbiz.de/10001858207
Saved in:
4
Hourly volatility spillovers between international equity markets
Susmel, Raul
;
Engle, Robert F.
-
1992
Persistent link: https://www.econbiz.de/10000841632
Saved in:
5
Common volatility in international equity markets
Engle, Robert F.
;
Susmel, Raul
-
1992
Persistent link: https://www.econbiz.de/10000841634
Saved in:
6
Long run volatility forecasting for individual stocks in a one factor model
Engle, Robert F.
;
Lee, Gary G. J.
-
1993
Persistent link: https://www.econbiz.de/10000877958
Saved in:
7
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:
8
Arch models
Bollerslev, Tim
;
Engle, Robert F.
;
Nelson, Daniel B.
-
1993
Persistent link: https://www.econbiz.de/10000878183
Saved in:
9
The spline-GARCH model for low-frequency volatility and its global macroeconomic causes
Engle, Robert F.
;
Rangel, Jose Gonzalo
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1187-1222
Persistent link: https://www.econbiz.de/10003742225
Saved in:
10
A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
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