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~accessRights:"free"
~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~person:"Nielsen, Morten Ørregaard"
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Theorie"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
Measurement
Theorie
Volatilität
94
Volatility
85
Theory
33
Prognoseverfahren
30
Forecasting model
28
Capital income
27
Kapitaleinkommen
27
Stochastischer Prozess
26
Stochastic process
25
Zeitreihenanalyse
22
ARCH-Modell
19
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19
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19
Time series analysis
19
Estimation
18
Optionspreistheorie
14
Option pricing theory
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10
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realized volatility
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Markov-Kette
7
Nichtparametrisches Verfahren
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Optionsgeschäft
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jumps
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long memory
7
volatility forecasting
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61
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Andersen, Torben
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
Nielsen, Morten Ørregaard
McAleer, Michael
106
Caporale, Guglielmo Maria
51
Chang, Chia-Lin
42
Koopman, Siem Jan
40
Gupta, Rangan
35
Hautsch, Nikolaus
32
Lux, Thomas
27
Pierdzioch, Christian
25
Spagnolo, Nicola
25
Bollerslev, Tim
24
Diebold, Francis X.
22
Bos, Charles S.
20
Lucas, André
20
Härdle, Wolfgang
19
Asai, Manabu
18
Hafner, Christian M.
18
Clements, Adam
17
Conrad, Christian
17
Teräsvirta, Timo
17
Bauwens, Luc
16
Silvennoinen, Annastiina
15
Caporin, Massimiliano
14
Merkl, Christian
14
Allen, David E.
13
Kočenda, Evžen
13
Mittnik, Stefan
13
Dijk, Dick van
12
Hansen, Peter Reinhard
12
Meddahi, Nour
12
Mumtaz, Haroon
12
Rodriguez, Gabriel
12
Spagnolo, Fabio
12
Chiarella, Carl
11
Clark, Todd E.
11
Karanasos, Menelaos
11
Stulz, René M.
11
Todorov, Viktor
11
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10
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Rodney L. White Center for Financial Research
2
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1
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Working paper / Department of Econometrics and Business Statistics, Monash University
14
CREATES research paper
7
Working paper / National Bureau of Economic Research, Inc.
7
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
6
CFS working paper series
4
Queen's Economics Department Working Paper
4
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3
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2
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2
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2
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1
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1
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ECONIS (ZBW)
56
EconStor
5
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ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
3
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
4
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
5
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
6
Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
Saved in:
7
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
8
Optimal probabilistic forecasts : when do they work?
Martin, Gael M.
;
Loiza-Maya, Ruben
;
Frazier, David T.
; …
-
2020
Persistent link: https://www.econbiz.de/10012610795
Saved in:
9
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
10
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
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