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An Algorithm for the Multivari...
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ARCH model
Schätztheorie
35,931
Estimation theory
35,304
Theorie
14,981
Theory
14,520
Algorithmus
6,584
Algorithm
6,523
Zeitreihenanalyse
6,302
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6,205
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5,979
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5,879
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4,188
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4,158
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3,612
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3,389
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3,333
Nonparametric statistics
3,302
Mathematische Optimierung
2,773
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2,763
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2,438
Forecasting model
2,395
USA
2,064
United States
1,999
Volatilität
1,890
Panel
1,881
Volatility
1,851
Panel study
1,831
Statistischer Test
1,798
Statistical test
1,761
Scheduling problem
1,700
Scheduling-Verfahren
1,700
Statistische Verteilung
1,699
Statistical distribution
1,662
Heuristics
1,480
Heuristik
1,480
ARCH-Modell
1,401
Stochastischer Prozess
1,372
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1,353
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1,346
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1,369
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6
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Francq, Christian
28
Hafner, Christian M.
26
Zakoïan, Jean-Michel
24
McAleer, Michael
22
Teräsvirta, Timo
21
Engle, Robert F.
17
Rahbek, Anders
16
Sheppard, Kevin
15
Ardia, David
14
Koopman, Siem Jan
14
Rombouts, Jeroen V. K.
14
Bauwens, Luc
13
Caporin, Massimiliano
13
Silvennoinen, Annastiina
13
Audrino, Francesco
12
Herwartz, Helmut
12
Kumar, Dilip
12
Linton, Oliver
11
Shephard, Neil G.
11
Laurent, Sébastien
10
Lucas, André
10
Wolf, Michael
10
Ledoit, Olivier
9
Paolella, Marc S.
9
Pedersen, Rasmus Søndergaard
9
Stentoft, Lars
9
Trojani, Fabio
9
Asai, Manabu
8
De Nard, Gianluca
8
Fiorentini, Gabriele
8
Horváth, Lajos
8
Huang, Zhuo
8
Karanasos, Menelaos
8
Lütkepohl, Helmut
8
Nelson, Daniel B.
8
Preminger, Arie
8
Allen, David E.
7
Bollerslev, Tim
7
Calzolari, Giorgio
7
Carnero, M. Angeles
7
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Econometrisch Instituut <Rotterdam>
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Ekonomiska forskningsinstitutet <Stockholm>
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Escola de Pós-Graduação em Economia <Rio de Janeiro>
2
National Bureau of Economic Research
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Suntory and Toyota International Centres for Economics and Related Disciplines
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1
University of Waterloo / Department of Economics
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Université de Montréal / Département de sciences économiques
1
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1
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Journal of econometrics
61
Econometric theory
39
Discussion paper / Tinbergen Institute
33
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
Economics letters
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Econometric reviews
19
International journal of forecasting
19
Journal of empirical finance
17
Finance research letters
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Applied economics
14
CREATES research paper
14
Journal of forecasting
14
The econometrics journal
14
Economic modelling
13
Journal of risk
13
International journal of economics and financial issues : IJEFI
12
Journal of banking & finance
12
Journal of financial econometrics
11
Journal of time series econometrics
11
The North American journal of economics and finance : a journal of financial economics studies
11
CORE discussion papers : DP
10
Econometric Institute research papers
10
International Journal of Energy Economics and Policy : IJEEP
10
Journal of risk and financial management : JRFM
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Computational economics
9
Econometrics : open access journal
9
Energy economics
8
Applied economics letters
7
Journal of mathematical finance
7
The journal of risk model validation
7
Working paper series
7
Working paper series / University of Zurich, Department of Economics
7
CORE discussion paper : DP
6
International review of economics & finance : IREF
6
International review of financial analysis
6
Research in international business and finance
6
SFB 649 discussion paper
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ECONIS (ZBW)
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1
Multivariate GARCH models
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Handbook of financial time series
,
(pp. 201-229)
.
2009
Persistent link: https://www.econbiz.de/10003833947
Saved in:
2
Asymptotic theory for a factor GARCH model
Hafner, Christian M.
;
Preminger, Arie
- In:
Econometric theory
25
(
2009
)
2
,
pp. 336-363
Persistent link: https://www.econbiz.de/10003818293
Saved in:
3
Asymptotic theory for a factor GARCH model
Hafner, Christian M.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003375885
Saved in:
4
Flexible dynamic consitional correlation multivariate GARCH models for asset allocation
Billio, Monica
(
contributor
);
Gobbo, Michele
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003376752
Saved in:
5
On the multivariate EGARCH model
Jane, Ten-Der
;
Ding, Cherng G.
- In:
Applied economics letters
16
(
2009
)
16/18
,
pp. 1757-1761
Persistent link: https://www.econbiz.de/10003932399
Saved in:
6
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco
(
contributor
);
Trojani, Fabio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003674253
Saved in:
7
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco
;
Trojani, Fabio
-
2007
-
Rev. version
Persistent link: https://www.econbiz.de/10003514621
Saved in:
8
Flexible dynamic conditional correlation multivariate GARCH models for asset allocation
Billio, Monica
;
Caporin, Massimiliano
;
Gobbo, Michele
- In:
Applied financial economics letters
2
(
2006
)
2
,
pp. 123-130
Persistent link: https://www.econbiz.de/10003302525
Saved in:
9
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco
;
Trojani, Fabio
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 138-149
Persistent link: https://www.econbiz.de/10009159099
Saved in:
10
Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model
Long, Xiangdong
;
Su, Liangjun
;
Ullah, Aman
- In:
Journal of business & economic statistics : JBES ; a …
29
(
2011
)
1
,
pp. 109-125
Persistent link: https://www.econbiz.de/10009159106
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