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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"International journal of forecasting"
~person:"Alizadeh, Sassan"
~person:"Bauwens, Luc"
~person:"Lucas, André"
~person:"Teräsvirta, Timo"
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Stochastischer Prozess
Volatility
Estimation theory
6
Forecasting model
6
Prognoseverfahren
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Schätztheorie
6
Time series analysis
5
Zeitreihenanalyse
5
ARCH model
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ARCH-Modell
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Autometrics
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Estimation
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Marginal Bridge estimator
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Neuronale Netze
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QuickNet
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Analysis of variance
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Delta-method
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Dynamic conditional correlation
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Dynamic higher-order moments
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Dynamic volatilities
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Exponentially Weighted Moving Average (EWMA)
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Generalized autoregressive conditional heteroskedasticity
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Alizadeh, Sassan
Bauwens, Luc
Lucas, André
Teräsvirta, Timo
Clements, Adam
2
Bagnato, Luca
1
Barajas-Solano, David A.
1
Becker, Ralf
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Kömm, Holger
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Li, Dan
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Ma, Tong
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Meng, Xiaochun
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International journal of forecasting
Discussion paper / Tinbergen Institute
5
CREATES research paper
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Econometric reviews
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CORE discussion papers : DP
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Econometrics : open access journal
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Handbook of financial time series
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
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2
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
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