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person:"Croux, Christophe"
subject:"Volatility"
~person:"Kumar, Dilip"
~person:"McCracken, Michael W."
~subject:"Prognoseverfahren"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Prognoseverfahren
Estimation theory
64
Schätztheorie
64
Forecasting model
25
Volatilität
21
Time series analysis
19
Zeitreihenanalyse
19
Robust statistics
18
Robustes Verfahren
18
Estimation
14
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14
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13
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Theory
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Volatility modeling
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English
36
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Croux, Christophe
Kumar, Dilip
McCracken, Michael W.
Swanson, Norman R.
25
Koopman, Siem Jan
21
Marcellino, Massimiliano
18
Teräsvirta, Timo
18
Koop, Gary
16
Todorov, Viktor
16
Cai, Zongwu
15
Andersen, Torben
14
Corradi, Valentina
14
Maheswaran, S.
14
Tauchen, George Eugene
14
Diebold, Francis X.
13
Huber, Florian
13
Li, Jia
13
Clark, Todd E.
12
Hyndman, Rob J.
12
Phillips, Peter C. B.
12
Hafner, Christian M.
11
Linton, Oliver
11
Lucas, André
11
Rossi, Barbara
11
Athanasopoulos, George
10
Gao, Jiti
10
Härdle, Wolfgang
10
Taylor, Robert
10
Vahid, Farshid
10
Dijk, Dick van
9
Francq, Christian
9
Kapetanios, George
9
Rodriguez, Gabriel
9
Baltagi, Badi H.
8
Bauwens, Luc
8
Brandt, Michael W.
8
Chevillon, Guillaume
8
Franses, Philip Hans
8
Hendry, David F.
8
Lahiri, Kajal
8
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7
Economic modelling
4
Journal of econometrics
3
IIMB management review
2
International review of economics & finance : IREF
2
The journal of prediction markets
2
Theoretical economics letters
2
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1
Discussion paper / Tinbergen Institute
1
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1
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1
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Symposium on forecasting and empirical methods in macroeconomics and finance
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ECONIS (ZBW)
36
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1
Robust estimation of linear state space models
Crevits, Ruben
;
Croux, Christophe
-
2017
Persistent link: https://www.econbiz.de/10011799036
Saved in:
2
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:
3
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:
4
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:
5
Detecting time variation in the price puzzle : an improved prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
-
2014
Persistent link: https://www.econbiz.de/10010485677
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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:
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