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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of quantitative economics"
~person:"Bagnato, Luca"
~person:"Clements, Adam"
~person:"Kumar, Dilip"
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Search: subject_exact:"Estimation theory"
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Volatilität
Estimation theory
5
Forecasting model
5
Prognoseverfahren
5
Schätztheorie
5
Volatility
5
ARCH model
3
ARCH-Modell
3
Capital income
3
Kapitaleinkommen
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Analysis of variance
2
Correlation
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GARCH models
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Portfolio selection
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Portfolio-Management
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Time series analysis
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Varianzanalyse
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Ausreißer
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Bias
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Bias corrected extreme value estimator
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Covariance forecasting
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Covariance matrix
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Dynamic dependencies
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Estimation errors
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Evaluating forecasts
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Forecast evaluation
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HAR
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Kurtosis
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Least-trimmed squares estimator
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Leverage effect
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Loss functions
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Minimum covariance determinant
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Model confidence set
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Multivariate Analyse
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Corsi, Fulvio
Bagnato, Luca
Clements, Adam
Kumar, Dilip
Kayal, Parthajit
2
Maheswaran, S.
2
Bauwens, Luc
1
Becker, Ralf
1
Buccheri, Giuseppe
1
Chakravarty, Ranjan R.
1
Cipollini, Fabrizio
1
Demetrescu, Matei
1
Doolan, M. B.
1
Drovandi, Christopher
1
Dutta, Sumanjay
1
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1
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1
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1
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1
Khandelwal, Vipul
1
Koop, Gary
1
Kömm, Holger
1
Küsters, Ulrich
1
Li, Dan
1
Lucas, André
1
Meng, Xiaochun
1
Nigam, Rakesh
1
Otranto, Edoardo
1
Pani, Sudhanshu
1
Patton, Andrew J.
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Poon, Aubrey
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Sheppard, Kevin
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Sucarrat, Genaro
1
Taylor, James W.
1
Titova, Anna
1
Vacca, Gianmarco
1
Vassallo, Danilo
1
Woźniak, Tomasz
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International journal of forecasting
Journal of quantitative economics
Economic modelling
4
IIMB management review
2
International review of economics & finance : IREF
2
NCER working paper series
2
The journal of prediction markets
2
Theoretical economics letters
2
Decision
1
Econometrics : open access journal
1
Global COE Hi-Stat discussion paper series
1
International review of financial analysis
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Macroeconomics and finance in emerging market economies
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Quaderni del Dipartimento di economia politica e statistica
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Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco
;
Zoia, Maria Grazia
;
Bagnato, Luca
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
Saved in:
3
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
4
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
5
Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf
;
Clements, Adam
;
Doolan, M. B.
;
Hurn, Stan
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
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