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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Econometric Institute research papers"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Bauwens, Luc"
~person:"Medeiros, Marcelo C."
~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
18
Volatilität
18
ARCH-Modell
11
Estimation
6
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6
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5
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5
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5
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4
Multivariate analysis
4
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Aufsatz in Zeitschrift
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Allen, David E.
Andersen, Torben
Bauwens, Luc
Medeiros, Marcelo C.
McAleer, Michael
60
Chang, Chia-Lin
29
Asai, Manabu
12
Hafner, Christian M.
8
Tansuchat, Roengchai
6
Chen, Chi-chung
4
Dufays, Arnaud
3
Franses, Philip Hans
3
Hsieh, Tai-Lin
3
Kobayashi, Masahito
3
Bodeutsch, Denice
2
Breitung, Jörg
2
Caporin, Massimiliano
2
Chen, Jinghui
2
Chen, Ping-yu
2
Dijk, Dick van
2
Hammoudeh, Shawkat
2
Hammoudeh, Shawkat M.
2
Herwartz, Helmut
2
Martinet, Guillaume Gaetan
2
Otranto, Edoardo
2
Peiris, Shelton
2
Powell, Robert
2
Preminger, Arie
2
Roengchai Tansuchat
2
Singh, Abhay Kumar
2
Sucarrat, Genaro
2
Wang, Yu-Ann
2
Wong, Wing Keung
2
Yuan, Yuan
2
Augustyniak, Maciej
1
Bannouh, Karim
1
Beltran Lopez, Helena
1
Carpantier, Jean-François
1
Chan, Felix
1
Chang, Chia-Ling
1
Chen, Ping-Yu
1
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CORE discussion papers : DP
Econometric Institute research papers
Working paper / National Bureau of Economic Research, Inc.
14
Journal of econometrics
7
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
7
Discussion paper / Tinbergen Institute
6
School of Accounting, Finance and Economics & FEMARC working paper series
6
The journal of finance : the journal of the American Finance Association
6
CREATES research paper
5
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5
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4
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3
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3
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3
International journal of forecasting
3
Journal of applied econometrics
3
Journal of financial markets
3
Applied economics
2
Econometric reviews
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
Global COE Hi-Stat discussion paper series
2
International economic review
2
Journal of risk and financial management : JRFM
2
LIDAM discussion paper CORE
2
The North American journal of economics and finance : a journal of financial economics studies
2
Tinbergen Institute Discussion 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
1
CEFIR and NES working papers
1
CORE discussion paper : DP
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Cardiff economics working papers
1
Department of Economics discussion paper series / University of Oxford
1
Economics discussion papers
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Handbook of economic forecasting ; Vol. 1
1
International finance discussion papers
1
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ECONIS (ZBW)
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1
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:
2
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
3
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:
4
Volatility
spillover and multivariate
volatility
impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Persistent link: https://www.econbiz.de/10011823323
Saved in:
5
Multivariate
volatility
impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2015
Persistent link: https://www.econbiz.de/10011432589
Saved in:
6
Modeling the dependence of conditional correlations on
volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
7
Computationally efficient inference procedures for vast dimensional realized covariance models
Bauwens, Luc
;
Storti, Giuseppe
-
2012
Persistent link: https://www.econbiz.de/10009573788
Saved in:
8
Multivariate
volatility
modeling of electricity futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
-
2011
Persistent link: https://www.econbiz.de/10009161059
Saved in:
9
Volatility
models
Bauwens, Luc
;
Hafter, Christian
;
Laurent, Sébastien
-
2011
Persistent link: https://www.econbiz.de/10009390311
Saved in:
10
Asymmetry and long memory in
volatility
modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008664039
Saved in:
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