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isPartOf:"Journal of banking & finance"
~isPartOf:"Energy economics"
~person:"Lai, Xiaodong"
~person:"McNeil, Alexander J."
~subject:"Theorie"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Volatility
Zeitreihenanalyse
Forecasting model
5
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4
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3
ARCH-Modell
3
Volatility forecasting
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Lai, Xiaodong
McNeil, Alexander J.
Ma, Feng
19
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13
Weron, Rafał
7
Zhang, Yaojie
7
Gupta, Rangan
6
Wei, Yu
6
Wu, Chongfeng
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3
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3
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3
Qu, Hui
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Wei, Yi-Ming
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3
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2
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DiLellio, James A.
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Journal of banking & finance
Energy economics
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1
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ECONIS (ZBW)
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1
Natural gas volatility prediction : fresh evidence from extreme weather and extended GARCH-MIDAS-ES model
Liang, Chao
;
Xia, Zhenglan
;
Lai, Xiaodong
;
Wang, Lu
- In:
Energy economics
116
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013542113
Saved in:
2
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
3
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
4
Forecasting oil futures price volatility : new evidence from realized range-based volatility
Ma, Feng
;
Zhang, Yaojie
;
Huang, Dengshi
;
Lai, Xiaodong
- In:
Energy economics
75
(
2018
),
pp. 400-409
Persistent link: https://www.econbiz.de/10011974360
Saved in:
5
Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?
Wei, Yu
;
Liu, Jing
;
Lai, Xiaodong
;
Hu, Yang
- In:
Energy economics
68
(
2017
),
pp. 141-150
Persistent link: https://www.econbiz.de/10011905038
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