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source:"econis"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Volatilität"
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Search: subject_exact:"Time series analysis"
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Volatilität
Time series analysis
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Martin, Gael M.
5
Maneesoonthorn, Worapree
3
Frazier, David T.
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Harris, David
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Anderson, Heather M.
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Bollen, Bernard
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Chen, Xiangjin B.
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Robert, Christian P.
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Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
100
Discussion paper / Tinbergen Institute
76
Energy economics
67
International journal of forecasting
60
Economic modelling
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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Finance research letters
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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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International review of financial analysis
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International review of economics & finance : IREF
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Research in international business and finance
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SFB 649 discussion paper
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Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
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2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
2
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
3
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
-
2020
Persistent link: https://www.econbiz.de/10012606901
Saved in:
4
Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
Saved in:
5
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
6
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
7
Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
-
2013
Persistent link: https://www.econbiz.de/10010189526
Saved in:
8
Common non-linearities in multiple series of stock market volatility
Anderson, Heather M.
;
Vahid, Farshid
-
2013
Persistent link: https://www.econbiz.de/10009701603
Saved in:
9
A general volatility framework and the generalised historical volatility estimator
Bollen, Bernard
-
1998
Persistent link: https://www.econbiz.de/10000995980
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