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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"International journal of forecasting"
~person:"Koop, Gary"
~person:"Kumar, Dilip"
~person:"Lucas, André"
~person:"Woźniak, Tomasz"
~subject:"Estimation theory"
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Volatilität
Estimation theory
Schätztheorie
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Time series analysis
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Zeitreihenanalyse
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Forecasting model
4
Prognoseverfahren
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Volatility
4
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ARCH-Modell
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Corsi, Fulvio
Koop, Gary
Kumar, Dilip
Lucas, André
Woźniak, Tomasz
Hyndman, Rob J.
4
Armstrong, Jon Scott
3
Kapetanios, George
3
Panagiotelis, Anastasios
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Tao, Hong
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Taylor, James W.
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Chaleampong Kongcharoen
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Espasa Terrades, Antoni
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Knüppel, Malte
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Kock, Anders Bredahl
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International journal of forecasting
Discussion paper / Tinbergen Institute
22
Journal of econometrics
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Strathclyde discussion papers in economics
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Economic modelling
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Econometric reviews
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Journal of applied econometrics
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Discussion paper / Tinbergen Institute / Tinbergen Institute
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The journal of prediction markets
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Theoretical economics letters
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FRB of Cleveland Working Paper
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Finance India : the quarterly journal of Indian Institute of Finance
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Global COE Hi-Stat discussion paper series
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IZA Discussion Paper
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International review of financial analysis
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Journal of economics & business
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1
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
2
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:
3
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
Blasques, Francisco
;
Koopman, Siem Jan
;
Łasak, Katarzyna
; …
- In:
International journal of forecasting
32
(
2016
)
3
,
pp. 875-887
Persistent link: https://www.econbiz.de/10011621857
Saved in:
4
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
5
Testing causality between two vectors in multivariate GARCH models
Woźniak, Tomasz
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 876-894
Persistent link: https://www.econbiz.de/10011474616
Saved in:
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