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person:"Croux, Christophe"
subject:"Volatility"
~person:"Kumar, Dilip"
~person:"McCracken, Michael W."
~subject:"Nonparametric statistics"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Nonparametric statistics
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
10
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10
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9
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9
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6
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5
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Volatility forecasting
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Wechselkurs
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Bias corrected extreme value estimator
2
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CARRS model
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Croux, Christophe
Kumar, Dilip
McCracken, Michael W.
Linton, Oliver
37
Li, Qi
30
Cai, Zongwu
23
Su, Liangjun
22
Gao, Jiti
20
Florens, Jean-Pierre
19
Kumbhakar, Subal
18
Parmeter, Christopher F.
18
Chen, Songnian
17
Chen, Xiaohong
17
Racine, Jeffrey
17
Simar, Léopold
17
Phillips, Peter C. B.
16
Ullah, Aman
16
Sun, Yiguo
15
Li, Degui
14
Maheswaran, S.
14
Tsionas, Efthymios G.
14
Escanciano, Juan Carlos
13
Horowitz, Joel
13
Henderson, Daniel J.
12
Teräsvirta, Timo
12
Todorov, Viktor
12
Fan, Jianqing
11
Hoderlein, Stefan
11
Lewbel, Arthur
11
Li, Jia
11
White, Halbert
11
Otsu, Taisuke
10
Tauchen, George Eugene
10
Van Keilegom, Ingrid
10
Xiao, Zhijie
10
Yao, Feng
10
Zhang, Xibin
10
Breunig, Christoph
9
Kapetanios, George
9
Kristensen, Dennis
9
Lu, Xun
9
Mammen, Enno
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Economic modelling
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3
IIMB management review
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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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Finance India : the quarterly journal of Indian Institute of Finance
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ECONIS (ZBW)
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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
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