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subject:"Risk measure"
~isPartOf:"Journal of financial econometrics"
~person:"Koopman, Siem Jan"
~person:"Livieri, Giulia"
~person:"Shin, Yongcheol"
~subject:"Schätzung"
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Search: subject_exact:"GARCH-Modell"
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Risk measure
Schätzung
ARCH model
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ARCH-Modell
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central limit theorem
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Koopman, Siem Jan
Livieri, Giulia
Shin, Yongcheol
Hansen, Peter Reinhard
2
Baur, Dirk G.
1
Bee, Marco
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1
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Journal of financial econometrics
Discussion paper / Tinbergen Institute
7
International journal of forecasting
1
Journal of econometrics
1
Journal of empirical finance
1
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ECONIS (ZBW)
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Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
2
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
3
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
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