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subject:"Volatility"
type_genre:"Article in journal"
~person:"Kumar, Dilip"
~person:"Leybourne, Stephen James"
~subject:"Börsenkurs"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Time series analysis
Estimation theory
43
Schätztheorie
43
Zeitreihenanalyse
23
Volatilität
17
ARCH model
13
ARCH-Modell
13
Forecasting model
13
Prognoseverfahren
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Volatility modeling
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Volatility forecasting
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Wechselkurs
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Article in journal
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English
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Kumar, Dilip
Leybourne, Stephen James
Phillips, Peter C. B.
29
Linton, Oliver
18
Harvey, Andrew C.
16
Taylor, Robert
16
Teräsvirta, Timo
16
Lütkepohl, Helmut
15
Maheswaran, S.
15
Johansen, Søren
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Ghysels, Eric
12
Koopman, Siem Jan
12
Li, Jia
12
Todorov, Viktor
12
Xiao, Zhijie
12
Zakoïan, Jean-Michel
12
McAleer, Michael
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Francq, Christian
10
Koop, Gary
10
Lucas, André
10
Robinson, Peter M.
10
Fan, Jianqing
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
Hendry, David F.
9
Kapetanios, George
9
Nelson, Daniel B.
9
Nielsen, Morten Ørregaard
9
Westerlund, Joakim
9
Andersen, Torben
8
Baltagi, Badi H.
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Journal of econometrics
7
Econometric theory
4
Economic modelling
4
Economics letters
3
IIMB management review
2
International review of economics & finance : IREF
2
The journal of prediction markets
2
Theoretical economics letters
2
Decision
1
International review of financial analysis
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of forecasting
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Journal of quantitative economics
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Macroeconomics and finance in emerging market economies
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
34
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1
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
2
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
3
Testing the order of fractional integration of a time series in the possible presence of a trend break at an unknown point
Iacone, Fabrizio
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric theory
35
(
2019
)
6
,
pp. 1201-1233
Persistent link: https://www.econbiz.de/10012149284
Saved in:
4
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
5
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
6
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
7
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
8
Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
Kumar, Dilip
- In:
IIMB management review
29
(
2017
)
4
,
pp. 294-310
Persistent link: https://www.econbiz.de/10011879691
Saved in:
9
Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
Kumar, Dilip
- In:
IIMB management review
28
(
2016
)
1
,
pp. 31-42
Persistent link: https://www.econbiz.de/10011508738
Saved in:
10
Improving the length of confidence sets for the date of a break in level and trend when the order of integration is unknown
Harvey, David I.
;
Leybourne, Stephen James
- In:
Economics letters
145
(
2016
),
pp. 239-245
Persistent link: https://www.econbiz.de/10011618823
Saved in:
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