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person:"Croux, Christophe"
subject:"Volatility"
~accessRights:"restricted"
~person:"Kumar, Dilip"
~person:"Rodriguez, Gabriel"
~person:"Zakoïan, Jean-Michel"
~subject:"Capital income"
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Search: subject_exact:"Estimation theory"
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Volatility
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Estimation theory
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Croux, Christophe
Kumar, Dilip
Rodriguez, Gabriel
Zakoïan, Jean-Michel
Todorov, Viktor
10
Li, Jia
9
Li, Yingying
7
Maheswaran, S.
7
Andersen, Torben
6
Demetrescu, Matei
6
Francq, Christian
6
Kim, Donggyu
6
Mykland, Per A.
6
Tauchen, George Eugene
6
Liu, Zhi
5
Rodrigues, Paulo M. M.
5
Bollerslev, Tim
4
Mancino, Maria Elvira
4
Sentana, Enrique
4
Sucarrat, Genaro
4
Taylor, Robert
4
Varneskov, Rasmus Tangsgaard
4
Wang, Yazhen
4
Wu, Xinyu
4
Zhang, Lan
4
Zheng, Xinghua
4
Ñíguez, Trino-Manuel
4
Amengual, Dante
3
Bauwens, Luc
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Buccheri, Giuseppe
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Clements, Adam
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Jing, Bingyi
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Kayal, Parthajit
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Kim, Jong-Min
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Koopman, Siem Jan
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Kömm, Holger
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Lee, Kyungsub
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Li, Wai Keung
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Liu, Guangying
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Luger, Richard
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Journal of econometrics
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2
IIMB management review
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Theoretical economics letters
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International review of economics & finance : IREF
1
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Review of Pacific Basin financial markets and policies
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ECONIS (ZBW)
15
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1
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Rodriguez, Gabriel
;
Vassallo, Renato
;
Castillo B., Paul
- In:
Economic modelling
124
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463282
Saved in:
2
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
3
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
4
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
5
Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets
Alanya, Willy
;
Rodriguez, Gabriel
- In:
Review of Pacific Basin financial markets and policies
22
(
2019
)
1
,
pp. 1950003-1-1950003-18
Persistent link: https://www.econbiz.de/10012156142
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6
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
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7
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
8
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
9
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
10
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
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