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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:"Measurement"
~subject:"Theorie"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
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
Börsenkurs
21
ARCH-Modell
19
Schätzung
19
Share price
19
Time series analysis
19
Estimation
18
Optionspreistheorie
14
Option pricing theory
13
USA
13
United States
12
Bayes-Statistik
10
Bayesian inference
10
Financial market
10
Finanzmarkt
10
Monte Carlo simulation
9
State space model
9
Zustandsraummodell
9
CAPM
8
Monte-Carlo-Simulation
8
Statistical distribution
8
Statistische Verteilung
8
realized volatility
8
Markov-Kette
7
Nichtparametrisches Verfahren
7
Optionsgeschäft
7
jumps
7
long memory
7
volatility forecasting
7
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Free
Undetermined
1
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Book / Working Paper
49
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Systematic review
Working Paper
Arbeitspapier
45
Graue Literatur
42
Non-commercial literature
42
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English
49
Author
All
Andersen, Torben
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
Nielsen, Morten Ørregaard
McAleer, Michael
86
Chang, Chia-Lin
36
Koopman, Siem Jan
36
Caporale, Guglielmo Maria
23
Diebold, Francis X.
22
Lux, Thomas
22
Bollerslev, Tim
21
Gupta, Rangan
21
Bos, Charles S.
19
Hafner, Christian M.
18
Lucas, André
18
Asai, Manabu
17
Härdle, Wolfgang
17
Pierdzioch, Christian
17
Bauwens, Luc
16
Hautsch, Nikolaus
16
Clements, Adam
15
Merkl, Christian
14
Teräsvirta, Timo
14
Silvennoinen, Annastiina
13
Hansen, Peter Reinhard
12
Meddahi, Nour
12
Mittnik, Stefan
12
Caporin, Massimiliano
11
Clark, Todd E.
11
Conrad, Christian
11
Rodriguez, Gabriel
11
Carriero, Andrea
10
Chiarella, Carl
10
Dijk, Dick van
10
Gonçalves, Sílvia
10
Herwartz, Helmut
10
Lütkepohl, Helmut
10
Mumtaz, Haroon
10
Spagnolo, Nicola
10
Barigozzi, Matteo
9
Buch, Claudia M.
9
Hounyo, Ulrich
9
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Rodney L. White Center for Financial Research
2
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Université de Montréal / Département de sciences économiques
1
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Working paper / Department of Econometrics and Business Statistics, Monash University
10
Working paper / National Bureau of Economic Research, Inc.
6
CREATES research paper
5
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
5
CFS working paper series
4
Queen's Economics Department Working Paper
4
Financial Institutions Center
3
Global COE Hi-Stat discussion paper series
2
Working papers / Rodney L. White Center for Financial Research
2
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Department of Economics discussion paper series / University of Oxford
1
Economics discussion papers
1
Queen's Economics Department working paper
1
Staff working paper / Bank of Canada
1
Technical working paper / National Bureau of Economic Research
1
Working paper
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Working papers / Federal Reserve Bank of Chicago
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ECONIS (ZBW)
45
EconStor
4
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
10
Time-varying periodicity in intraday
volatility
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797522
Saved in:
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