Forecasting realized variance measures using time-varying coefficient models
Year of publication: |
2018
|
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Authors: | Bekierman, Jeremias ; Manner, Hans |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 34.2018, 2, p. 276-287
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Subject: | Volatility forecasting | Realized volatility | Measurement error | State space model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Statistischer Fehler | Statistical error | Zustandsraummodell | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Wechselkurs | Exchange rate |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enthalten in: Volume 37, issue 3 (July/September 2021), Seite 1304-1305 |
Other identifiers: | 10.1016/j.ijforecast.2017.12.005 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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