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~institution:"University of Canterbury / Dept. of Economics and Finance"
~subject:"Algorithmus"
~subject:"Stochastischer Prozess"
~subject:"Theory"
~type_genre:"Working Paper"
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Algorithmus
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Volatility
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McAleer, Michael
4
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Lan Fen Chu
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University of Canterbury / Dept. of Economics and Finance
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
18
Centre for Analytical Finance <Århus>
8
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8
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Federal Reserve Bank of Cleveland
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2
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1
Forecasting value-at-risk using block structure multivariate stochastic
volatility
models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
2
Estimating the leverage parameter of continuous-time stochastic
volatility
models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
2011
-
1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
Saved in:
3
How volatile is ENSO?
Lan Fen Chu
;
McAleer, Michael
;
Chen, Chi-chung
-
2010
Persistent link: https://www.econbiz.de/10008689070
Saved in:
4
Forecasting realized
volatility
with linear and nonlinear univariate models
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008689073
Saved in:
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