Frontiers in time series and financial econometrics: an overview
DOI10.1016/j.jeconom.2015.03.019zbMath1323.00063OpenAlexW1980777545MaRDI QIDQ888316
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Publication date: 30 October 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://papers.tinbergen.nl/15026.pdf
time seriescopulasstochastic volatilitythreshold modelsfinancial econometricsconditional durationconditional volatility
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Economic time series analysis (91B84) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)
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