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subject:"Capital income"
subject:"Zeitreihenanalyse"
~isPartOf:"Computational economics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Andersen, Torben"
~subject:"Risk"
~subject:"Wohlfahrtsanalyse"
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Capital income
Zeitreihenanalyse
Risk
Wohlfahrtsanalyse
Theorie
8
Theory
8
Volatility
8
Volatilität
8
Kapitaleinkommen
6
Forecasting model
3
Prognoseverfahren
3
Statistical distribution
3
Statistische Verteilung
3
ARCH model
2
ARCH-Modell
2
Deutsche Mark
2
Estimation
2
Exchange rate
2
Risikoprämie
2
Risk premium
2
Schätzung
2
Wechselkurs
2
1987-1992
1
Ankündigungseffekt
1
Announcement effect
1
Deutschland
1
Devisenmarkt
1
Forecast
1
Foreign exchange market
1
Germany
1
Japan
1
Modellierung
1
Multivariate Analyse
1
Multivariate analysis
1
Option trading
1
Optionsgeschäft
1
Prognose
1
Risikomaß
1
Risk measure
1
Scientific modelling
1
Stochastic process
1
Stochastischer Prozess
1
Time series analysis
1
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6
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6
Working Paper
6
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5
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English
6
Author
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Andersen, Torben
Campbell, John Y.
13
Aizenman, Joshua
10
Bekaert, Geert
9
Engle, Robert F.
9
Ferson, Wayne E.
9
Nieuwerburgh, Stijn van
9
Cochrane, John H.
8
Diebold, Francis X.
8
Harvey, Campbell R.
8
Stambaugh, Robert F.
8
Angeletos, Marios
7
Aït-Sahalia, Yacine
7
Krueger, Dirk
7
Acemoglu, Daron
6
Amador, Manuel
6
Auerbach, Alan J.
6
Backus, David
6
Bollerslev, Tim
6
Devereux, Michael B.
6
Lo, Andrew W.
6
Pástor, Ľuboš
6
Shleifer, Andrei
6
Abel, Andrew B.
5
Jeanne, Olivier
5
Kotlikoff, Laurence J.
5
Lustig, Hanno
5
Perri, Fabrizio
5
Pindyck, Robert S.
5
Razin, Asaf
5
Shiller, Robert J.
5
Tsadḳah, Efrayim
5
Watson, Mark W.
5
Zeckhauser, Richard
5
Aguiar, Mark
4
Atkeson, Andrew
4
Barro, Robert J.
4
Brandt, Michael W.
4
Brunnermeier, Markus Konrad
4
Caballero, Ricardo J.
4
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Computational economics
Working paper / National Bureau of Economic Research, Inc.
Journal of econometrics
3
CFS working paper series
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Financial Institutions Center
2
Working papers / Financial Institutions Center
2
Cahier / Départment de Sciences Économiques, Université de Montréal
1
International economic review
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial economics
1
NBER reporter online
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Symposium on forecasting and empirical methods in macroeconomics and finance
1
The review of economics and statistics
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
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Working papers / Federal Reserve Bank of Chicago
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ECONIS (ZBW)
6
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1
Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2005
Persistent link: https://www.econbiz.de/10003217674
Saved in:
2
The distribution of stock return volatility
Andersen, Torben
(
contributor
)
-
2000
Persistent link: https://www.econbiz.de/10001519326
Saved in:
3
Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2000
Persistent link: https://www.econbiz.de/10001440693
Saved in:
4
Modeling and forecasting realized volatility
Andersen, Torben
(
contributor
)
-
2001
Persistent link: https://www.econbiz.de/10001561837
Saved in:
5
Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
6
Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000603372
Saved in:
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