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person:"Rombouts, Jeroen V. K."
~subject:"Multivariate Analyse"
~subject:"Risikoprämie"
~subject:"Stochastic process"
~subject:"Stochastischer Prozess"
~subject:"Theorie"
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Search: subject_exact:"GARCH model"
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Multivariate Analyse
Risikoprämie
Stochastic process
Stochastischer Prozess
Theorie
ARCH model
38
ARCH-Modell
38
Theory
18
Bayes-Statistik
12
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12
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11
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11
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10
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26
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Rombouts, Jeroen V. K.
McAleer, Michael
86
Hafner, Christian M.
46
Bauwens, Luc
34
Herwartz, Helmut
31
Caporin, Massimiliano
29
Laurent, Sébastien
26
Teräsvirta, Timo
26
Engle, Robert F.
25
Paolella, Marc S.
25
Asai, Manabu
24
Francq, Christian
22
Zakoïan, Jean-Michel
21
Conrad, Christian
20
Chang, Chia-Lin
19
Mittnik, Stefan
19
Gupta, Rangan
17
Bollerslev, Tim
16
Jondeau, Eric
16
Rahbek, Anders
16
Saikkonen, Pentti
16
Koopman, Siem Jan
15
Linton, Oliver
15
Brooks, Chris
14
Christoffersen, Peter F.
14
Karanasos, Menelaos
14
Lucas, André
14
Rockinger, Michael
14
Sheppard, Kevin
14
Silvennoinen, Annastiina
14
Chen, Cathy W. S.
13
He, Changli
13
Ledoit, Olivier
13
Ruiz, Esther
13
Allen, David E.
12
Feng, Yuanhua
12
Ghysels, Eric
12
Haas, Markus
12
Shephard, Neil G.
12
Wolf, Michael
12
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6
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2
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ECONIS (ZBW)
26
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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
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009504878
Saved in:
3
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
-
2011
Persistent link: https://www.econbiz.de/10009382620
Saved in:
4
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:
5
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:
6
Consistent ranking of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
-
2009
Persistent link: https://www.econbiz.de/10003850918
Saved in:
7
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:
8
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:
9
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:
10
Regime switching GARCH models
Bauwens, Luc
(
contributor
);
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003396156
Saved in:
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