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isPartOf:"Review of international economics"
type:"article"
~isPartOf:"Economic modelling"
~isPartOf:"International journal of forecasting"
~isPartOf:"Quantitative finance"
~subject:"Time series analysis"
~subject:"Volatilität"
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Time series analysis
Volatilität
Theorie
3,452
Theory
3,452
Forecasting model
803
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803
Zeitreihenanalyse
437
Estimation
348
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Hyndman, Rob J.
10
Makridakis, Spyros G.
10
Assimakopoulos, V.
8
Spiliotis, Evangelos
8
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6
Koopman, Siem Jan
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5
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4
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3
McCabe, Brendan Peter Martin
3
Montero-Manso, Pablo
3
Pedregal, Diego J.
3
Perron, Pierre
3
Peña, Daniel
3
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3
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Review of international economics
Economic modelling
International journal of forecasting
Quantitative finance
Journal of econometrics
406
Economics letters
340
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
277
Journal of forecasting
255
Econometric theory
198
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Finance research letters
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Journal of international money and finance
90
International journal of theoretical and applied finance
84
Journal of financial economics
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International review of economics & finance : IREF
75
International review of financial analysis
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The European journal of finance
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Oxford bulletin of economics and statistics
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Journal of monetary economics
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The North American journal of economics and finance : a journal of financial economics studies
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European journal of operational research : EJOR
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Journal of risk and financial management : JRFM
58
The journal of finance : the journal of the American Finance Association
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
56
Applied financial economics
55
Econometrics : open access journal
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ECONIS (ZBW)
565
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1
Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? : a nonlinear bivariate approach
Bosupeng, Mpho
;
Naranpanawa, Athula
;
Su, Jen-je
- In:
Economic modelling
130
(
2024
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014451157
Saved in:
2
Accelerating peak dating in a dynamic factor Markov-switching model
Os, Bram van
;
Dijk, Dick van
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 313-323
Persistent link: https://www.econbiz.de/10014450273
Saved in:
3
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
4
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
5
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
6
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
7
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
8
Forecasting the equity premium with frequency-decomposed technical indicators
Stein, Tobias
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 6-28
Persistent link: https://www.econbiz.de/10014450132
Saved in:
9
Empirical probabilistic forecasting : an approach solely based on deterministic explanatory variables for the selection of past forecast errors
Romanus, Eduardo E.
;
Silva, Eugênio
;
Goldschmidt, …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 184-201
Persistent link: https://www.econbiz.de/10014450266
Saved in:
10
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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