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person:"Rombouts, Jeroen V. K."
~subject:"Multivariate Analyse"
~subject:"Risikoprämie"
~subject:"Schätzung"
~subject:"Stochastic process"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"GARCH model"
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Multivariate Analyse
Risikoprämie
Schätzung
Stochastic process
Stochastischer Prozess
ARCH model
38
ARCH-Modell
38
Theorie
18
Theory
18
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12
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1950-2006
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Rombouts, Jeroen V. K.
McAleer, Michael
82
Chang, Chia-Lin
37
Hafner, Christian M.
31
Gupta, Rangan
29
Herwartz, Helmut
22
Bauwens, Luc
21
Paolella, Marc S.
21
Caporin, Massimiliano
20
Kumar, Dilip
20
Conrad, Christian
19
Ma, Feng
18
Asai, Manabu
17
Koopman, Siem Jan
17
Bouri, Elie
14
Engle, Robert F.
14
Laurent, Sébastien
14
Trojani, Fabio
14
Allen, David E.
13
Francq, Christian
13
Huang, Zhuo
13
Karanasos, Menelaos
13
Mittnik, Stefan
13
Silvennoinen, Annastiina
13
Yang, Minxian
13
Antonakakis, Nikolaos
12
Bollerslev, Tim
12
Chiang, Thomas C.
12
Floros, Christos
12
Malik, Farooq
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Tiwari, Aviral Kumar
12
Weber, Enzo
12
Wu, Xinyu
12
Zakoïan, Jean-Michel
12
Andersen, Torben
11
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11
Teräsvirta, Timo
11
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10
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10
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Econometrisch Instituut <Rotterdam>
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CORE discussion papers : DP
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Journal of econometrics
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2
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ECONIS (ZBW)
20
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1
Multivariate volatility forecasts for stock market indices
Wilms, Ines
;
Rombouts, Jeroen V. K.
;
Croux, Christophe
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
Saved in:
2
Root-T consistent density estimation in GARCH models
Delaigle, Aurore
;
Meister, Alexander
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011610662
Saved in:
3
Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2010
Persistent link: https://www.econbiz.de/10003963064
Saved in:
4
Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.
;
Stent, Lars
-
2010
Persistent link: https://www.econbiz.de/10008648918
Saved in:
5
Consistent ranking of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
-
2009
Persistent link: https://www.econbiz.de/10003850918
Saved in:
6
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
Saved in:
7
Mixed exponential power asymmetric conditional heteroskedasticity
Bouaddi, Mohammed
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003646288
Saved in:
8
Mixed exponential power asymmetric conditional heteroskedasticity
Bouaddi, Mohammed
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003628635
Saved in:
9
The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Franceso
- In:
International journal of forecasting
30
(
2013
)
1
,
pp. 78-98
Persistent link: https://www.econbiz.de/10010247010
Saved in:
10
On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
- In:
Journal of econometrics
173
(
2013
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
Saved in:
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