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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics"
~person:"Audrino, Francesco"
~person:"Maheswaran, S."
~subject:"ARCH-Modell"
~subject:"Random Walk"
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Stochastischer Prozess
Volatility
ARCH-Modell
Random Walk
Estimation theory
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Schätztheorie
8
ARCH model
4
USA
4
United States
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Forecasting model
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Prognoseverfahren
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Aktienmarkt
2
Bond market
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Correlation
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Dynamic programming
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Dynamische Optimierung
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Estimation
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Market microstructure
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1990-2003
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1996-2003
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Induktive Statistik
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Modellierung
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Audrino, Francesco
Maheswaran, S.
Trojani, Fabio
3
Bühlmann, Peter
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Colangelo, Dominik
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
Working papers on finance
4
Economic modelling
3
Journal of quantitative economics
2
Cogent economics & finance
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Finance India : the quarterly journal of Indian Institute of Finance
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Financial markets and portfolio management
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IIMB management review
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International journal of financial engineering
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International review of economics & finance : IREF
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International review of financial analysis
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Macroeconomics and finance in emerging market economies
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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University of St. Gallen Department of Economics Discussion Paper
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University of St.Gallen, Department of Economics, Discussion Paper
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Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
;
Trojani, Fabio
-
2007
Persistent link: https://www.econbiz.de/10003514617
Saved in:
2
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco
;
Trojani, Fabio
-
2007
-
Rev. version
Persistent link: https://www.econbiz.de/10003514621
Saved in:
3
Splines for financial volatility
Audrino, Francesco
;
Bühlmann, Peter
-
2007
Persistent link: https://www.econbiz.de/10003465238
Saved in:
4
Forecasting implied volatility surfaces
Audrino, Francesco
;
Colangelo, Dominik
-
2007
Persistent link: https://www.econbiz.de/10003597924
Saved in:
5
A general multivariate threshold GARCH model with dynamic conditional correlations
Trojani, Fabio
;
Audrino, Francesco
-
2005
Persistent link: https://www.econbiz.de/10002771808
Saved in:
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