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~subject:"ARCH model"
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ARCH model
Markov chain
7,877
Markov-Kette
7,584
Theorie
4,086
Theory
4,056
Warteschlangentheorie
2,786
Queueing theory
2,276
Schätzung
1,371
Estimation
1,364
Stochastischer Prozess
1,062
Stochastic process
1,046
Volatilität
885
Volatility
883
Monte-Carlo-Simulation
853
Monte Carlo simulation
850
Bayesian inference
849
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847
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783
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779
Prognoseverfahren
616
Forecasting model
612
USA
577
United States
574
Business cycle
505
Konjunktur
504
Mathematische Optimierung
473
Mathematical programming
470
Spieltheorie
464
Game theory
456
ARCH-Modell
431
Börsenkurs
425
Share price
422
Kapitaleinkommen
421
Schätztheorie
421
Estimation theory
420
Capital income
418
Option pricing theory
349
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349
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345
Portfolio-Management
324
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76
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7
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1
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425
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1
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Bauwens, Luc
16
Meitz, Mika
13
Saikkonen, Pentti
13
Dufays, Arnaud
9
Lütkepohl, Helmut
9
Lee, Hsiang-Tai
8
Chen, Cathy W. S.
7
Ma, Feng
7
Rombouts, Jeroen V. K.
7
Billio, Monica
6
Casarin, Roberto
6
Chang, Kuang-Liang
6
Otranto, Edoardo
6
Amisano, Gianni
5
Ardia, David
5
Augustyniak, Maciej
5
Bohl, Martin T.
5
Geweke, John
5
Gupta, Rangan
5
Haas, Markus
5
Shi, Yanlin
5
Velinov, Anton
5
Asai, Manabu
4
Balcilar, Mehmet
4
Caporale, Guglielmo Maria
4
Essid, Badye
4
Frömmel, Michael
4
Li, Ming-yuan Leon
4
Lu, Xinjie
4
Osuntuyi, Anthony
4
Preminger, Arie
4
Serletis, Apostolos
4
Siklos, Pierre L.
4
So, Mike Ka-pui
4
Xu, Libo
4
Zekokh, Timur
4
Blazsek, Szabolcs
3
Bluteau, Keven
3
Brunetti, Celso
3
Cavicchioli, Maddalena
3
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Ekonomiska forskningsinstitutet <Stockholm>
2
European University Institute / Department of Economics
1
Westfälische Wilhelms-Universität Münster
1
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Energy economics
17
International journal of forecasting
12
Journal of empirical finance
12
Applied economics
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
The North American journal of economics and finance : a journal of financial economics studies
10
Economic modelling
9
Journal of econometrics
8
International review of economics & finance : IREF
7
Journal of forecasting
7
Economics letters
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
6
Finance research letters
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Applied economics letters
5
CORE discussion papers : DP
5
International Journal of Financial Studies : open access journal
5
International review of financial analysis
5
The European journal of finance
5
CESifo working papers
4
Econometric theory
4
Emerging markets review
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Quantitative finance
4
Research in international business and finance
4
SFB 649 discussion paper
4
The journal of futures markets
4
CREATES research paper
3
Computational economics
3
Department of Economics discussion paper series / University of Oxford
3
Discussion paper / Tinbergen Institute
3
Discussion papers / Deutsches Institut für Wirtschaftsforschung
3
International journal of economics and finance
3
International journal of finance & economics : IJFE
3
Journal of banking & finance
3
SSE EFI working paper series in economics and finance
3
The econometrics journal
3
Working paper series / European Central Bank
3
Applied mathematical finance
2
Bulletin of economic research
2
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ECONIS (ZBW)
427
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1
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427
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1
Clustering of arrivals in queueing systems : autoregressive conditional duration approach
Tomanová, Petra
;
Holý, Vladimír
- In:
Central European journal of operations research
29
(
2021
)
3
,
pp. 859-874
Persistent link: https://www.econbiz.de/10012587718
Saved in:
2
Modelling volatility asymmetries : a Bayesian analysis of a class of tree structured multivariate GARCH models
Dellaportas, P.
;
Vrontos, I. D.
- In:
The econometrics journal
10
(
2007
)
3
,
pp. 503-520
Persistent link: https://www.econbiz.de/10003637597
Saved in:
3
Long memory with Markov-Switching GARCH
Krämer, Walter
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003641700
Saved in:
4
Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus
(
contributor
);
Mittnik, Stefan
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003651587
Saved in:
5
A Markov regime switching approach for hedging energy commodities
Alizadeh-Masoodian, Amir H.
;
Nomikos, Nikos K.
; …
- In:
Journal of banking & finance
32
(
2008
)
9
,
pp. 1970-1983
Persistent link: https://www.econbiz.de/10003775048
Saved in:
6
Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine
;
Rockinger, Michael
- In:
Journal of empirical finance
15
(
2008
)
5
,
pp. 868-877
Persistent link: https://www.econbiz.de/10003776390
Saved in:
7
Detecting and modeling tail dependence
Bellini, Fabio
;
Figà-Talamanca, Gianna
- In:
International journal of theoretical and applied finance
7
(
2004
)
3
,
pp. 269-287
Persistent link: https://www.econbiz.de/10002111461
Saved in:
8
Stock market dynamics in a regime-switching asymmetric power GARCH model
Ané, Thierry
;
Ureche-Rangau, Loredana
- In:
International review of financial analysis
15
(
2006
)
2
,
pp. 109-129
Persistent link: https://www.econbiz.de/10003320645
Saved in:
9
Bayesian analysis of a doubly truncated ARMA-GARCH model
Goldman, Elena
(
contributor
);
Tsurumi, Hiroki
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
9
(
2005
)
3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10003283242
Saved in:
10
On a threshold heteroscedastic model
Chen, Cathy W. S.
;
So, Mike Ka-pui
- In:
International journal of forecasting
22
(
2006
)
1
,
pp. 73-89
Persistent link: https://www.econbiz.de/10003283952
Saved in:
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