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~subject:"Time series analysis"
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Time series analysis
Volatility
40,917
Volatilität
40,649
Kapitaleinkommen
39,391
Capital income
39,291
Theorie
32,526
Theory
31,898
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ARCH-Modell
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7,453
Correlation
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Risk
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Korrelation
6,819
Wechselkurs
5,951
Exchange rate
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Gil-Alaña, Luis A.
71
Caporale, Guglielmo Maria
67
Koopman, Siem Jan
62
McAleer, Michael
58
Phillips, Peter C. B.
46
Gupta, Rangan
43
Härdle, Wolfgang
42
Lux, Thomas
42
Gao, Jiti
33
Lucas, André
33
Bollerslev, Tim
31
Hafner, Christian M.
29
Pesaran, M. Hashem
28
Taylor, Robert
28
Andersen, Torben
24
Chan, Joshua
24
Blasques, Francisco
23
Sibbertsen, Philipp
23
Tauchen, George Eugene
23
Teräsvirta, Timo
23
Asai, Manabu
21
Hallin, Marc
20
Todorov, Viktor
20
Bauwens, Luc
19
Dijk, Dick van
19
Chang, Chia-Lin
18
Rodriguez, Gabriel
18
Engle, Robert F.
17
Bos, Charles S.
16
Caporin, Massimiliano
16
Hansen, Peter Reinhard
16
Hautsch, Nikolaus
16
Herwartz, Helmut
16
Kim, Donggyu
16
Yu, Jun
16
Hounyo, Ulrich
15
Li, Jia
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Lütkepohl, Helmut
15
Shephard, Neil G.
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Tiwari, Aviral Kumar
15
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
7
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Ekonomiska forskningsinstitutet <Stockholm>
6
Centre for Growth and Business Cycle Research <Manchester>
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Gottfried Wilhelm Leibniz Universität Hannover
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Université de Montréal / Département de sciences économiques
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Christian-Albrechts-Universität zu Kiel
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Econometrisch Instituut <Rotterdam>
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European University Institute / Department of Economics
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Federal Reserve Bank of St. Louis
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Nationalekonomiska Institutionen <Lund>
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Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
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Springer International Publishing
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University of Chicago / Center for Research in Security Prices
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Aarhus Universitet / Afdeling for Nationaløkonomi
1
Birkbeck College / Department of Economics
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Bundesanstalt für Geowissenschaften und Rohstoffe
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Business Information Centre <Toronto>
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Center for Economic Research <Tilburg>
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Centre for Quantitative Economics & Computing
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Chambre de commerce et d'industrie de Paris
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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EconWPA
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European University Institute / Department of Law
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International Center for Financial Asset Management and Engineering
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International Statistical Institute
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International Workshop on Statistics and Finance <1999, Hongkong>
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Internationaler Währungsfonds / Asia and Pacific Department
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Internationaler Währungsfonds / Western Hemisphere Department
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Leonard N. Stern School of Business / Information Systems Department
1
London School of Economics and Political Science
1
New York University / Mathematical Finance Seminar
1
New York University Mathematical Finance Seminar
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Journal of econometrics
171
Discussion paper / Tinbergen Institute
107
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
92
Energy economics
86
Economic modelling
79
International journal of forecasting
78
Journal of empirical finance
71
Economics letters
70
Finance research letters
65
Econometric reviews
57
Journal of forecasting
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
Applied economics
49
International review of financial analysis
48
CREATES research paper
43
Working paper
43
International review of economics & finance : IREF
42
The North American journal of economics and finance : a journal of financial economics studies
42
Econometric theory
39
Applied economics letters
37
Computational economics
37
Quantitative finance
37
Journal of banking & finance
34
CESifo working papers
33
Journal of financial econometrics
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
31
Journal of risk and financial management : JRFM
31
Working paper / Department of Econometrics and Business Statistics, Monash University
31
Research in international business and finance
28
SFB 649 discussion paper
28
Applied financial economics
26
Econometrics : open access journal
25
Journal of economic dynamics & control
25
Journal of financial economics
24
Journal of applied econometrics
23
CAMA working paper series
22
Cambridge working papers in economics
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The econometrics journal
22
Economics working paper
21
Journal of international financial markets, institutions & money
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ECONIS (ZBW)
5,380
RePEc
2
EconStor
1
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1
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10
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5,383
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1
A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew
;
Luo, Dan
- In:
Journal of financial markets
64
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
Saved in:
2
Rough stochastic elasticity of variance and option pricing
Cao, Jiling
;
Kim, Jeong-Hoon
;
Kim, See-Woo
;
Zhang, WenJun
- In:
Finance research letters
37
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
Saved in:
3
Implied filtering densities on the hidden state of stochastic
volatility
Fuertes, Carlos
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
Saved in:
4
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho
- In:
Journal of banking & finance
47
(
2014
),
pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
Saved in:
5
Risk premia and Lévy jumps : theory and evidence
Fallahgoul, Hasan
;
Hugonnier, Julien
;
Mancini, Loriano
-
2019
market,
volatility
and jump risks, and observation error of time changes. To operationalize the models, we use volume …
Persistent link: https://www.econbiz.de/10012134215
Saved in:
6
Risk premia and Lévy jumps : theory and evidence
Fallahgoul, Hasan
;
Hugonnier, Julien
;
Mancini, Loriano
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 810-851
Persistent link: https://www.econbiz.de/10014314823
Saved in:
7
Euro conversion and return dynamics of European financial markets : a frequency domain approach
Grossmann, Axel
;
Giudici, Emiliano
;
Simpson, Marc W.
- In:
Journal of economics and finance
38
(
2014
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010388029
Saved in:
8
Market returns and risk factors for the emerging economies
Talukdar, Bakhtear
;
Parhizgari, Ali M.
- In:
Applied economics
52
(
2020
)
48
,
pp. 5230-5243
Persistent link: https://www.econbiz.de/10012307212
Saved in:
9
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
10
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
Saved in:
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