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~institution:"Tinbergen Instituut"
~subject:"GARCH models"
~subject:"High dimensionality"
~subject:"volatility risk"
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GARCH models
High dimensionality
volatility risk
forecasting
12
Forecasting
8
Bayesian analysis
3
Realized volatility
3
Kalman filter
2
State Space
2
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kernel methods
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long memory
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nonlinear forecasting
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volatility forecasting
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Asset pricing
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Asymptotic theory
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BRICS
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Forecasting Conditional Default Probabilities
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Allen, David E.
2
McAleer, Michael
2
Scharth, Marcel
2
Dijk, Dick van
1
Exterkate, Peter
1
Groenen, Patrick J.F.
1
Heij, Christiaan
1
Huurman, Christian
1
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Tinbergen Instituut
Department of Economics and Finance, College of Business and Economics
2
Tinbergen Institute
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
1
Department of Economics, Boston University
1
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Institut für Weltwirtschaft (IfW)
1
Institute of Economic Research, Kyoto University
1
Nationalekonomiska institutionen, Stockholms Universitet
1
Norges Bank
1
School of Economics and Management, University of Aarhus
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Tinbergen Institute Discussion Papers
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Asymmetric Realized Volatility Risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
Tinbergen Instituut
-
2014
forecasting
errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011272575
Saved in:
2
Realized Volatility Risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
Tinbergen Instituut
-
2013
forecasting
errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164
Saved in:
3
Nonlinear
Forecasting
with Many Predictors using Kernel Ridge Regression
Exterkate, Peter
;
Groenen, Patrick J.F.
;
Heij, Christiaan
; …
-
Tinbergen Instituut
-
2011
This paper puts forward kernel ridge regression as an approach for
forecasting
with many predictors that are related … overfitting. We extend the kernel ridge regression methodology to enable its use for economic time-series
forecasting
, by …
Persistent link: https://www.econbiz.de/10011256969
Saved in:
4
The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
Huurman, Christian
;
Ravazzolo, Francesco
;
Zhou, Chen
-
Tinbergen Instituut
-
2007
wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known
forecasting
models …
Persistent link: https://www.econbiz.de/10011257096
Saved in:
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