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isPartOf:"SFB 649 discussion paper"
type_genre:"Working Paper"
~isPartOf:"CREATES research paper"
~language:"eng"
~subject:"Regression analysis"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
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Härdle, Wolfgang
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Podolskij, Mark
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Reiß, Markus
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SFB 649 discussion paper
CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
210
Discussion paper / Tinbergen Institute
139
Discussion paper / Centre for Economic Policy Research
109
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
99
Working paper
85
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
80
CESifo working papers
66
Research paper series / Swiss Finance Institute
66
Discussion papers of interdisciplinary research project 373
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Cowles Foundation discussion paper
53
Swiss Finance Institute Research Paper
48
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Discussion paper series / IZA
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Discussion paper / Center for Economic Research, Tilburg University
43
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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CEMMAP working papers / Centre for Microdata Methods and Practice
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Discussion paper
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Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
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Working papers in economics and statistics
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Les cahiers du GERAD
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
20
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ECONIS (ZBW)
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Now- and backcasting initial claims with high-dimensional daily internet search-volume data
Borup, Daniel
;
Rapach, David E.
;
Montes Schütte, Erik …
-
2021
Persistent link: https://www.econbiz.de/10012433998
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2
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
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2021
Persistent link: https://www.econbiz.de/10012434010
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3
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
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4
Targeting predictors in random forest regression
Borup, Daniel
;
Christensen, Bent Jesper
;
Mühlbach, …
-
2020
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This version: May 5, 2020
Persistent link: https://www.econbiz.de/10012317696
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5
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
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6
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
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7
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
-
2018
Persistent link: https://www.econbiz.de/10011913657
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8
Edgeworth expansion for Euler approximation of continuous diffusion processes
Podolskij, Mark
;
Veliyev, Bezirgen
;
Yoshida, Nakahiro
-
2018
Persistent link: https://www.econbiz.de/10011946254
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9
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
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10
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
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