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person:"McAleer, Michael"
~isPartOf:"Journal of econometrics"
~person:"Gallo, Giampiero M."
~subject:"Prognoseverfahren"
~subject:"Stochastischer Prozess"
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Prognoseverfahren
Stochastischer Prozess
Volatility
11
Volatilität
11
Estimation
5
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5
Stochastic process
5
Stochastic volatility
4
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Option trading
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1975-1998
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ARCH model
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McAleer, Michael
Gallo, Giampiero M.
Todorov, Viktor
12
Tauchen, George Eugene
9
Bollerslev, Tim
8
Andersen, Torben
6
Patton, Andrew J.
5
Asai, Manabu
4
Aït-Sahalia, Yacine
4
Ghysels, Eric
4
Kim, Donggyu
4
Li, Jia
4
Xiu, Dacheng
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Zhou, Hao
4
Carriero, Andrea
3
Clark, Todd E.
3
Francq, Christian
3
Hallin, Marc
3
Maheu, John M.
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Shephard, Neil G.
3
Varneskov, Rasmus Tangsgaard
3
Yu, Jun
3
Zakoïan, Jean-Michel
3
Amengual, Dante
2
Barigozzi, Matteo
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
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Calvet, Laurent E.
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Chan, Joshua
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Chang, Chia-Lin
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Chib, Siddhartha
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Creal, Drew
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2
Forbes, Catherine Scipione
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Gallant, A. Ronald
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Grynkiv, Iaryna
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Journal of econometrics
Econometric Institute research papers
21
Working paper
18
Discussion paper / Tinbergen Institute
16
Econometric reviews
8
Econometrics : open access journal
4
International journal of forecasting
4
EUI working paper / ECO
2
International review of economics & finance : IREF
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Risks : open access journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The North American journal of economics and finance : a journal of financial economics studies
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Tinbergen Institute Discussion Paper 2017-105/III
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ECONIS (ZBW)
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1
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
2
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
3
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
4
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
5
The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
Saved in:
6
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
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