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person:"McAleer, Michael"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~isPartOf:"Working paper"
~person:"Allen, David E."
~person:"Gallo, Giampiero M."
~subject:"Prognoseverfahren"
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Search: subject_exact:"Volatility"
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Prognoseverfahren
Volatility
48
Volatilität
48
ARCH model
21
ARCH-Modell
21
Estimation
15
Schätzung
15
Forecasting model
12
Stochastic process
11
Stochastischer Prozess
11
Theorie
11
Theory
11
Capital income
10
Kapitaleinkommen
10
Risikomaß
10
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10
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9
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9
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9
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Welt
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World
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Modellierung
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Rohstoffderivat
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Zeitreihenanalyse
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Oil price
7
Spillover effect
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Spillover-Effekt
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USA
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United States
7
Ölpreis
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Derivat
5
Derivative
5
Hedging
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Capital market returns
4
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4
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2
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English
12
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McAleer, Michael
Allen, David E.
Gallo, Giampiero M.
Gupta, Rangan
5
Asai, Manabu
3
Caporin, Massimiliano
3
Dai, Zhifeng
3
Guo, Hui
3
Medeiros, Marcelo C.
3
Pierdzioch, Christian
3
Pérez Amaral, Teodosio
3
Qiao, Gaoxiu
3
Raunig, Burkhard
3
Wohar, Mark E.
3
Wu, Xinyu
3
Zhang, Yaojie
3
Chang, Chia-Lin
2
Jimenez-Martin, Juan-Angel
2
Karlsson, Sune
2
Kok Haur Ng
2
Li, Weiping
2
Liu, Li
2
Neely, Christopher J.
2
Nonejad, Nima
2
Scharth, Marcel
2
Skiadopoulos, George
2
Tiwari, Aviral Kumar
2
Österholm, Pär
2
Al-Jarrah, Idries Mohammad Wanas
1
Al-Yahyaee, Khamis Hamed
1
Alañón Pardo, Ángel
1
Anjum, Hassan
1
Asai, Manuabu
1
Awartani, Basel
1
Azibi, Jamel
1
Bannouh, Karim
1
Bellos, Sotirios K.
1
Berger, Helge
1
Bianconi, Marcelo
1
Blazsek, Szabolcs
1
Brailsford, Timothy J.
1
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University of Canterbury / Dept. of Economics and Finance
2
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The North American journal of economics and finance : a journal of financial economics studies
Working paper
Econometric Institute research papers
12
Discussion paper / Tinbergen Institute
6
International journal of forecasting
4
EUI working paper / ECO
2
International review of economics & finance : IREF
2
Journal of econometrics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
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2
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1
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1
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1
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1
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1
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1
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1
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School of Accounting, Finance and Economics & FEMARC working paper series
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
The journal of futures markets
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ECONIS (ZBW)
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1
Asymmetric realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2014
Persistent link: https://www.econbiz.de/10010410196
Saved in:
2
Efficient modelling and forecasting with range based volatility models and its application
Kok Haur Ng
;
Peiris, Shelton
;
Chan, Jennifer So-kuen
; …
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 448-460
Persistent link: https://www.econbiz.de/10011938162
Saved in:
3
The rise and fall of S&P 500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009413649
Saved in:
4
Modelling and forecasting noisy realized volatility
Asai, Manuabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008669930
Saved in:
5
Realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2010
Persistent link: https://www.econbiz.de/10008689075
Saved in:
6
GFC-robust risk management strategies under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695591
Saved in:
7
Asymmetry and long memory in volatility modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695596
Saved in:
8
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008695598
Saved in:
9
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
10
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
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