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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Audrino, Francesco"
~person:"Horváth, Lajos"
~person:"Kotchoni, Rachidi"
~subject:"ARCH-Modell"
~subject:"Prognoseverfahren"
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Volatility
ARCH-Modell
Prognoseverfahren
Estimation theory
5
Schätztheorie
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ARCH model
3
Estimation
3
Schätzung
3
Forecasting model
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Market microstructure
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USA
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Audrino, Francesco
Horváth, Lajos
Kotchoni, Rachidi
Francq, Christian
2
Zakoïan, Jean-Michel
2
Andreou, Alena
1
Balter, Janine
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Bos, Charles S.
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Caldeira, João F.
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Calvet, Laurent E.
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Czellar, Veronika
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Di, Jianing
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Engle, Robert F.
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Frederiksen, Per
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Gangopadhyay, Ashis
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Haag, Berthold R.
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Ikeda, Shin S.
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Janus, Paweł
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
5
Working papers on finance
4
Econometric theory
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
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University of St. Gallen Department of Economics Discussion Paper
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Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
2
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
3
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
4
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
4
,
pp. 591-623
Persistent link: https://www.econbiz.de/10003570734
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