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subject:"Time series analysis"
subject:"Volatilität"
~accessRights:"restricted"
~person:"Asai, Manabu"
~person:"Gao, Jiti"
~person:"Mumtaz, Haroon"
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Time series analysis
Volatilität
Estimation
32
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31
Volatility
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Theorie
11
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11
Estimation theory
10
Schock
10
Schätztheorie
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Asai, Manabu
Gao, Jiti
Mumtaz, Haroon
Gupta, Rangan
73
Gil-Alaña, Luis A.
42
Bahmani-Oskooee, Mohsen
28
Ma, Feng
25
Bouri, Elie
23
Tiwari, Aviral Kumar
23
Balcilar, Mehmet
22
Pierdzioch, Christian
21
Wohar, Mark E.
19
Xuan Vinh Vo
17
Todorov, Viktor
16
Chang, Tsangyao
15
Kang, Sang Hoon
15
Marcellino, Massimiliano
15
Mensi, Walid
15
Caporale, Guglielmo Maria
14
Lee, Chien-chiang
14
Nonejad, Nima
14
Bollerslev, Tim
13
Jawadi, Fredj
13
Li, Jia
13
Wang, Yudong
13
Wei, Yu
13
Wu, Xinyu
13
Salisu, Afees A.
12
Yoon, Seong-min
12
Zhang, Yaojie
12
Zhu, Huiming
12
Kumar, Dilip
11
Narayan, Paresh Kumar
11
Chan, Joshua
10
Ghysels, Eric
10
Hammoudeh, Shawkat
10
Ranjbar, Omid
10
Shi, Yanlin
10
Brooks, Robert
9
Caporin, Massimiliano
9
Chevallier, Julien
9
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9
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of econometrics
3
Econometric reviews
2
International journal of forecasting
2
International journal of finance & economics : IJFE
1
International review of economics & finance : IREF
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1
Estimation, inference, and empirical analysis for time-varying var models
Gao, Jiti
;
Peng, Bin
;
Yan, Yayi
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 310-321
Persistent link: https://www.econbiz.de/10014449933
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2
Bayesian non-linear quantile effects on modelling realized kernels
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Asai, Manabu
- In:
International journal of finance & economics : IJFE
28
(
2023
)
1
,
pp. 981-995
Persistent link: https://www.econbiz.de/10014253335
Saved in:
3
The evolving impact of global, region-specific, and country-specific uncertainty
Mumtaz, Haroon
;
Musso, Alberto
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 466-481
Persistent link: https://www.econbiz.de/10012499092
Saved in:
4
Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu
;
Gupta, Rangan
;
McAleer, Michael
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
Saved in:
5
Financial regimes and uncertainty shocks
Alessandri, Piergiorgio
;
Mumtaz, Haroon
- In:
Journal of monetary economics
101
(
2019
),
pp. 31-46
Persistent link: https://www.econbiz.de/10012264750
Saved in:
6
Nonparametric estimation and forecasting for time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 88-100
Persistent link: https://www.econbiz.de/10011894402
Saved in:
7
The changing transmission of uncertainty shocks in the U.S.
Mumtaz, Haroon
;
Theodoridis, Konstantinos
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 239-252
Persistent link: https://www.econbiz.de/10011894695
Saved in:
8
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
9
Forecasting with VAR models : fat tails and stochastic volatility
Chiu, Ching Wai Jeremy
;
Mumtaz, Haroon
;
Pintér, Gábor
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 1124-1143
Persistent link: https://www.econbiz.de/10011746951
Saved in:
10
Common and country specific economic uncertainty
Mumtaz, Haroon
;
Theodoridis, Konstantinos
- In:
Journal of international economics
105
(
2017
),
pp. 205-216
Persistent link: https://www.econbiz.de/10011751898
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