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Autoregressive conditional heteroskedasticity
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771	Francis X. Diebold University of Pennsylvania Department of Economics 3718 Locust Walk Philadelphia, PA[removed]Email: [removed] Add to Reading List Source URL: www.ssc.upenn.edu Language: English - Date: 2014-07-08 14:50:56 Fellows of the Econometric Society Time series analysis Robert F. Engle Autoregressive conditional heteroskedasticity Economic statistics Wharton Econometric Forecasting Associates Eric Ghysels Tim Bollerslev Statistics Economics Econometrics
772	Wildflowers Photography P.O. Box 676 Marion, IA[removed]1232 [removed] Add to Reading List Source URL: www.lancasterconsulting.net Language: English - Date: 2010-11-12 16:07:30 Autoregressive conditional heteroskedasticity Economics Economy of the United States AT&T Bell System Dow Jones Industrial Average
773	To Forecast or Not to Forecast: An Application to Nonlinear Models Walter Enders1 1 Razvan Pascalau2 Add to Reading List Source URL: www.dofin.ase.ro Language: English - Date: 2009-11-02 12:57:06 Econometrics Data analysis Forecasting Autoregressive conditional heteroskedasticity Time series analysis Statistics Statistical forecasting
774	TIMES Box-Jenkins Forecasting System Reference Manual Volume I TECHNICAL BACKGROUND Add to Reading List Source URL: www.foundationwebsite.org Language: English - Date: 2010-06-17 13:21:59 Econometrics Autoregressive–moving-average model Estimation theory Box–Jenkins Regression analysis Moving-average model Autoregressive conditional heteroskedasticity Maximum likelihood Forecasting Statistics Time series analysis Noise
775	On The Network Effect in The Stock Market, The N 3/2 Power Law, and Optimal Volatility Equilibrium Stephen H.-T. Lihn Piscataway, NJ[removed]removed] Add to Reading List Source URL: www.skew-lognormal-cascade-distribution.org Language: English - Date: 2010-01-24 10:15:38 Statistics Volatility Log-normal distribution Modern portfolio theory Autoregressive conditional heteroskedasticity Stock market index Diversification Ornstein–Uhlenbeck process Volatility smile Mathematical finance Financial economics Economics
776	SIMULATION OF SQUARE-ROOT PROCESSES ¨ LEIF B.G. ANDERSEN, PETER JACKEL, AND CHRISTIAN KAHL Abstract. We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as Add to Reading List Source URL: www.awdz65.dsl.pipex.com Language: English - Date: 2009-03-14 14:09:43 Heston model Normal distribution Stochastic differential equation Stochastic volatility CIR process Autoregressive conditional heteroskedasticity Volatility Martingale Statistics Stochastic processes Mathematical finance
777	A Nonlinear Panel Data Model of Cross-sectional Dependence∗ George Kapetanios Queen Mary, University of London James Mitchell National Institute of Economic and Social Research, London Add to Reading List Source URL: www.melbourneinstitute.com Language: English - Date: 2011-04-13 20:00:04 Econometrics Data analysis Autoregressive conditional heteroskedasticity Principal component analysis Factor analysis Dimensional analysis Variance Vector autoregression Statistics Multivariate statistics Time series analysis
778	Cyclical Volatility for FX Add to Reading List Source URL: www.efm.bris.ac.uk Language: English - Date: 2012-02-17 10:07:07 Economics Stochastic volatility Realized variance Volatility Autoregressive conditional heteroskedasticity Time series VIX Mathematical finance Financial economics Finance
779	Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial C Add to Reading List Source URL: www.federalreserve.gov Language: English - Date: 2014-03-27 15:21:21 Economics Applied mathematics Statistics Value at risk Autoregressive conditional heteroskedasticity Volatility Vars Volt-ampere reactive Historical simulation Mathematical finance Financial risk Actuarial science
780	Using Efficiency Tests to Reduce Revisions in Panel Data: The Case of Wage and Salary Estimates for U.S. States Jeremy J. Nalewaik WP2004-09 First draft: November 2004 Add to Reading List Source URL: www.bea.gov Language: English - Date: 2011-05-23 12:29:00 Time series analysis Data analysis Analysis of variance Weighted mean Mean Variance Autoregressive conditional heteroskedasticity Simple linear regression Errors and residuals in statistics Statistics Econometrics Regression analysis

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