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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of forecasting"
~subject:"ARCH-Modell"
~subject:"Nichtparametrisches Verfahren"
~type_genre:"Bibliografie enthalten"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Nichtparametrisches Verfahren
Estimation theory
150
Schätztheorie
150
Forecasting model
113
Prognoseverfahren
113
Time series analysis
63
Zeitreihenanalyse
63
Estimation
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Article in journal
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29
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Baillie, Richard
2
Chaleampong Kongcharoen
2
Clements, Adam
2
Gallo, Giampiero M.
2
Kapetanios, George
2
Lucas, André
2
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1
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1
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1
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1
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1
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1
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International journal of forecasting
Journal of econometrics
428
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
155
Econometric theory
146
CEMMAP working papers / Centre for Microdata Methods and Practice
120
Economics letters
116
Econometric reviews
105
Journal of the American Statistical Association : JASA
80
The econometrics journal
76
Discussion paper / Tinbergen Institute
60
Discussion papers of interdisciplinary research project 373
47
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
46
Working paper / Department of Econometrics and Business Statistics, Monash University
46
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
43
CREATES research paper
39
SFB 649 discussion paper
39
Quantitative economics : QE ; journal of the Econometric Society
37
Discussion paper series / IZA
35
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Cowles Foundation discussion paper
33
Economic modelling
31
Journal of empirical finance
31
Série des documents de travail / Centre de Recherche en Économie et Statistique
31
European journal of operational research : EJOR
29
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
28
Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Econometrics papers
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Boston College working papers in economics
24
Computational economics
24
Applied economics letters
23
Journal of banking & finance
23
Journal of risk and financial management : JRFM
23
Applied economics
22
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22
Cambridge working papers in economics
20
Journal of applied econometrics
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KBI
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Finance research letters
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ECONIS (ZBW)
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
Interactive R&D spillovers : an estimation strategy based on forecasting-driven model selection
Gioldasis, Georgios
;
Musolesi, Antonio
;
Simioni, Michel
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 144-169
Persistent link: https://www.econbiz.de/10014462785
Saved in:
3
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
4
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
5
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
Saved in:
6
Distributional regression and its evaluation with the CRPS : bounds and convergence of the minimax risk
Pic, Romain
;
Dombry, Clément
;
Naveau, Philippe
; …
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1564-1572
Persistent link: https://www.econbiz.de/10014465329
Saved in:
7
Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco
;
Zoia, Maria Grazia
;
Bagnato, Luca
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
Saved in:
8
GoodsForecast second-place solution in M5 Uncertainty track : combining heterogeneous models for a quantile estimation task
Mamonov, Nikolay
;
Golubyatnikov, Evgeny
;
Kanevskiy, Daniel
- In:
International journal of forecasting
38
(
2022
)
4
,
pp. 1434-1441
Persistent link: https://www.econbiz.de/10014381103
Saved in:
9
Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
Saved in:
10
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
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