University of Hohenheim - Institute of Economics
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stock return distribution, quantile autoregression, overreaction and underreaction
Dynamic latent variables, Importance sampling, Mixture of distribution models, Poisson distribution, Simulated Maximum Likelihood
Stock market cointegration, High-frequency data, Permanent-transitory decomposition
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Count data, serial dependence, generalized Poisson, higher-order models, maximum likelihood estimation, parametric resampling
File name: JTSA.
Count time series, binomial thinning, EMM, subsampling standard errors
Spillovers, contagion, realized volatility, HAR-RV model, structural breaks
Spillovers, Index Futures, Realized Volatility, Structural VAR model, HAR-RV model
Spillovers, Contemporaneous correlation, Information transmission, Intra-day data, GARCH models
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