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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Journal of forecasting"
~person:"Abraham, Bovas"
~person:"Ahumada, Hildegart A."
~person:"Ke, Tsung-han"
~person:"Shang, Han Lin"
~subject:"Bootstrap approach"
~subject:"Forecasting model"
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Stochastischer Prozess
Volatility
Bootstrap approach
Forecasting model
Estimation theory
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Prognoseverfahren
5
Schätztheorie
5
Time series analysis
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Zeitreihenanalyse
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VAR-Modell
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conditional heteroskedasticity
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functional linear regression
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Abraham, Bovas
Ahumada, Hildegart A.
Ke, Tsung-han
Shang, Han Lin
Härdle, Wolfgang
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Lütkepohl, Helmut
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Discussion papers of interdisciplinary research project 373
Journal of forecasting
Application of operations research to financial markets
1
Astin bulletin : the journal of the International Actuarial Association
1
Insurance / Mathematics & economics
1
International journal of forecasting
1
Scandinavian actuarial journal
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Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Shang, Han Lin
;
Ji, Kaiying
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1973-1988
Persistent link: https://www.econbiz.de/10014432826
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2
Forecasting intraday S&P 500 index returns : a functional time series approach
Shang, Han Lin
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 741-755
Persistent link: https://www.econbiz.de/10011860709
Saved in:
3
Forecasting volatility with many predictors
Ke, Tsung-han
;
Hu, Yu-pin
- In:
Journal of forecasting
32
(
2013
)
8
,
pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
Saved in:
4
Break detectability and mean square forecast error ratios for selecting estimation windows
Ahumada, Hildegart A.
- In:
Journal of forecasting
31
(
2012
)
8
,
pp. 688-705
Persistent link: https://www.econbiz.de/10009722642
Saved in:
5
Computationally efficient bootstrap prediction intervals for returns and volatilities in ARCH and GARCH processes
Chen, Bei
;
Gel, Yulia R.
;
Balakrishna, N.
;
Abraham, Bovas
- In:
Journal of forecasting
30
(
2011
)
1
,
pp. 51-71
Persistent link: https://www.econbiz.de/10009233916
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