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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Department of Economics discussion paper series / University of Oxford"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Bauwens, Luc"
~person:"Hafner, Christian M."
~person:"Medeiros, Marcelo C."
~person:"Noureldin, Diaa"
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Japan"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
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Volatility
19
Volatilität
19
ARCH-Modell
16
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6
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5
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5
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4
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volatility
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Allen, David E.
Andersen, Torben
Bauwens, Luc
Hafner, Christian M.
Medeiros, Marcelo C.
Noureldin, Diaa
Campos-Martins, Susana
3
Dufays, Arnaud
3
Shephard, Neil G.
3
Sheppard, Kevin
3
Amado, Cristina
2
Breitung, Jörg
2
Otranto, Edoardo
2
Preminger, Arie
2
Sucarrat, Genaro
2
Ashournia, Damoun
1
Augustyniak, Maciej
1
Beltran Lopez, Helena
1
Carpantier, Jean-François
1
Durré, Alain
1
Fernández-Villaverde, Jesús
1
Giot, Pierre
1
Hafter, Christian
1
Hendry, David F.
1
Herwartz, Helmut
1
Laurent, Sébastien
1
MacCormick, Barry
1
Malcomson, James M.
1
Maw, James W.
1
Maxand, Simone
1
Mercan, Yusuf
1
Pascual, Roberto
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Pierret, Diane
1
Rime, Dagfinn
1
Schoefer, Benjamin
1
Sedlácek, Petr
1
Storti, G.
1
Storti, Giuseppe
1
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1
Veredas, David
1
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1
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CORE discussion papers : DP
Department of Economics discussion paper series / University of Oxford
Working paper / National Bureau of Economic Research, Inc.
14
Journal of econometrics
9
Discussion paper / Tinbergen Institute
8
Econometric Institute research papers
7
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
7
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6
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6
The journal of finance : the journal of the American Finance Association
6
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5
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5
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5
CORE discussion paper : DP
4
International journal of forecasting
4
CFS working paper series
3
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
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3
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3
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3
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2
Discussion papers of interdisciplinary research project 373
2
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2
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economics letters
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
Global COE Hi-Stat discussion paper series
2
International economic review
2
Journal of empirical finance
2
Journal of risk and financial management : JRFM
2
LIDAM discussion paper CORE
2
SFB 649 discussion paper
2
The North American journal of economics and finance : a journal of financial economics studies
2
Tinbergen Institute Discussion Paper
2
Working paper
2
Working papers / Federal Reserve Bank of Chicago
2
American Economic Review papers and proceedings
1
Annals of economics and statistics
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
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ECONIS (ZBW)
17
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1
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
-
2018
Persistent link: https://www.econbiz.de/10011993276
Saved in:
2
A simple model for now-casting
volatility
series
Breitung, Jörg
;
Hafner, Christian M.
-
2015
Persistent link: https://www.econbiz.de/10011581871
Saved in:
3
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
4
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
5
A simple model for now-casting
volatility
series
Breitung, Jörg
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010484185
Saved in:
6
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
7
A new approach to
volatility
modeling : the high-dimensional Markov Model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
-
2016
Persistent link: https://www.econbiz.de/10011894434
Saved in:
8
Modeling the dependence of conditional correlations on
volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
9
Computationally efficient inference procedures for vast dimensional realized covariance models
Bauwens, Luc
;
Storti, Giuseppe
-
2012
Persistent link: https://www.econbiz.de/10009573788
Saved in:
10
Multivariate high-frequency-based
volatility
(HEAVY) models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
-
2011
Persistent link: https://www.econbiz.de/10008842201
Saved in:
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