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person:"Croux, Christophe"
subject:"Volatility"
~person:"Kumar, Dilip"
~person:"Todorov, Viktor"
~subject:"ARCH-Modell"
~subject:"Kapitaleinkommen"
~subject:"Prognoseverfahren"
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Volatility
ARCH-Modell
Kapitaleinkommen
Prognoseverfahren
Estimation theory
103
Schätztheorie
103
Volatilität
42
Robust statistics
37
Robustes Verfahren
37
Time series analysis
30
Zeitreihenanalyse
30
Estimation
29
Schätzung
29
Regression analysis
26
Regressionsanalyse
26
Forecasting model
18
Capital income
17
ARCH model
14
Börsenkurs
14
Share price
14
Stochastic process
12
Stochastischer Prozess
12
Nichtparametrisches Verfahren
11
Nonparametric statistics
11
Correlation
10
Korrelation
10
Outliers
8
Theorie
8
Theory
8
VAR model
8
VAR-Modell
8
Bias
6
Forecast evaluation
6
Option pricing theory
6
Optionspreistheorie
6
Systematischer Fehler
6
Ausreißer
5
High-frequency data
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Monte-Carlo-Simulation
5
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English
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Croux, Christophe
Kumar, Dilip
Todorov, Viktor
Swanson, Norman R.
41
Koopman, Siem Jan
31
Diebold, Francis X.
30
Linton, Oliver
29
Francq, Christian
28
Teräsvirta, Timo
26
Hafner, Christian M.
24
Zakoïan, Jean-Michel
24
Corradi, Valentina
23
Marcellino, Massimiliano
22
Brandt, Michael W.
20
Kapetanios, George
18
Rahbek, Anders
18
Koop, Gary
17
Li, Jia
17
Li, Yingying
17
Phillips, Peter C. B.
17
Cai, Zongwu
16
Clark, Todd E.
16
Gao, Jiti
16
Härdle, Wolfgang
16
Maheswaran, S.
16
McCracken, Michael W.
16
Tauchen, George Eugene
16
Engle, Robert F.
15
Nelson, Daniel B.
15
Pesaran, M. Hashem
15
Xu, Ke-Li
15
Andersen, Torben
14
Ardia, David
14
Audrino, Francesco
14
Huber, Florian
14
Sheppard, Kevin
14
Cavaliere, Giuseppe
13
Ghysels, Eric
13
Hyndman, Rob J.
13
McAleer, Michael
13
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Journal of econometrics
10
KBI
7
Economic modelling
4
ERID working paper
3
Economic Research Initiatives at Duke (ERID) Working Paper
2
IIMB management review
2
International review of economics & finance : IREF
2
The journal of prediction markets
2
Theoretical economics letters
2
CREATES research paper
1
Decision
1
Discussion paper / Tinbergen Institute
1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
International journal of forecasting
1
International review of financial analysis
1
Journal of forecasting
1
Journal of quantitative economics
1
Macroeconomics and finance in emerging market economies
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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ECONIS (ZBW)
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
5
Robust estimation of linear state space models
Crevits, Ruben
;
Croux, Christophe
-
2017
Persistent link: https://www.econbiz.de/10011799036
Saved in:
6
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:
7
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:
8
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:
9
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
10
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
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