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person:"Grammig, Joachim"
~person:"Andrianov, Dmitry"
~subject:"ARCH model"
~subject:"Duration analysis"
~type:"article"
~type_genre:"Book section"
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill
;
Andrianov, Dmitry
;
Ivliev, Sergey
- In:
Financial econometrics and empirical market microstructure
,
(pp. 37-45)
.
2015
Persistent link: https://www.econbiz.de/10011326724
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Forecasting intra-day return volatility using ultra-high-frequency GARCH : does the duration model matter?
Hujer, Reinhard
;
Grammig, Joachim
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2001
Persistent link: https://www.econbiz.de/10014553638
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