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subject:"Volatilität"
~isPartOf:"Bulletin of economic research"
~isPartOf:"Journal of financial econometrics"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Autoregressives Modell"
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1
A consistent and robust test for autocorrelated jump occurrences
Kwok, Simon Sai Man
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 157-186
Persistent link: https://www.econbiz.de/10014526309
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2
Predicting stock realized variance based on an asymmetric robust regression approach
Zhang, Yaojie
;
He, Mengxi
;
Zhao, Yuqi
;
Hao, Xianfeng
- In:
Bulletin of economic research
75
(
2023
)
4
,
pp. 1022-1047
Persistent link: https://www.econbiz.de/10014435626
Saved in:
3
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
Saved in:
4
Stock return predictability : evaluation based on interval forecasts
Charles, Amélie
;
Darné, Olivier
;
Kim, Jae H.
- In:
Bulletin of economic research
74
(
2022
)
2
,
pp. 363-385
Persistent link: https://www.econbiz.de/10013188680
Saved in:
5
A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
Saved in:
6
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
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