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~institution:"University of Canterbury / Dept. of Economics and Finance"
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Forecasting model
7
Prognoseverfahren
7
Time series analysis
4
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ARCH model
3
ARCH-Modell
3
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2000-2010
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Risk measure
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Robust statistics
1
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McAleer, Michael
7
Caporin, Massimiliano
4
Asai, Manabu
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Chang, Chia-Lin
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Franses, Philip Hans
1
Medeiros, Marcelo C.
1
Oxley, Les
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University of Canterbury / Dept. of Economics and Finance
National Bureau of Economic Research
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69
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59
World Bank Group
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54
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40
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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HAL
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21
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21
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Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2012
Persistent link: https://www.econbiz.de/10009562979
Saved in:
2
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:
3
Ranking multivariate GARCH models by problem dimension : an empirical evaluation
Caporin, Massimiliano
;
McAleer, Michael
-
2011
Persistent link: https://www.econbiz.de/10009412785
Saved in:
4
Ten things we should know about time series
McAleer, Michael
;
Oxley, Les
-
2010
Persistent link: https://www.econbiz.de/10008688841
Saved in:
5
Combining non-replicable forecasts
Chang, Chia-Lin
;
Franses, Philip Hans
;
McAleer, Michael
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008689066
Saved in:
6
Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano
;
McAleer, Michael
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008689067
Saved in:
7
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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