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person:"Croux, Christophe"
subject:"Volatility"
~person:"Kumar, Dilip"
~person:"McCracken, Michael W."
~subject:"Bias corrected extreme value estimator"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Bias corrected extreme value estimator
Prognoseverfahren
Estimation theory
32
Schätztheorie
32
Forecasting model
17
Volatilität
16
ARCH model
12
ARCH-Modell
12
Estimation
10
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10
Time series analysis
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Capital income
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Croux, Christophe
Kumar, Dilip
McCracken, Michael W.
Maheswaran, S.
14
Teräsvirta, Timo
12
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
10
Andersen, Torben
8
Cai, Zongwu
8
Francq, Christian
8
Koopman, Siem Jan
8
Swanson, Norman R.
8
Demetrescu, Matei
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Taylor, James W.
7
Taylor, Robert
7
Baltagi, Badi H.
6
Hafner, Christian M.
6
Kapetanios, George
6
Lahiri, Kajal
6
Sbrana, Giacomo
6
Shang, Han Lin
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Ullah, Aman
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
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5
Bollerslev, Tim
5
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5
Fan, Jianqing
5
Fosten, Jack
5
Ghysels, Eric
5
Harvey, David I.
5
Jing, Bingyi
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Koop, Gary
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Lee, Ji Hyung
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Economic modelling
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International review of economics & finance : IREF
2
The journal of prediction markets
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Theoretical economics letters
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1
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International review of financial analysis
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ECONIS (ZBW)
23
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1
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:
2
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:
3
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
Saved in:
4
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:
5
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
Saved in:
6
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:
7
Multistep ahead forecasting of vector time series
McElroy, Tucker
;
McCracken, Michael W.
- In:
Econometric reviews
36
(
2017
)
5
,
pp. 495-513
Persistent link: https://www.econbiz.de/10011795256
Saved in:
8
Tests of equal accuracy for nested models with estimated factors
Gonçalves, Sílvia
;
McCracken, Michael W.
;
Perron, Benoit
- In:
Journal of econometrics
198
(
2017
)
2
,
pp. 231-252
Persistent link: https://www.econbiz.de/10011818789
Saved in:
9
Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
Kumar, Dilip
- In:
IIMB management review
29
(
2017
)
4
,
pp. 294-310
Persistent link: https://www.econbiz.de/10011879691
Saved in:
10
Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
Kumar, Dilip
- In:
IIMB management review
28
(
2016
)
1
,
pp. 31-42
Persistent link: https://www.econbiz.de/10011508738
Saved in:
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