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~isPartOf:"Econometric reviews"
~source:"econis"
~subject:"Monte-Carlo-Simulation"
~subject:"Prognoseverfahren"
~subject:"Time series analysis"
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Monte-Carlo-Simulation
Prognoseverfahren
Time series analysis
Volatility
89
Volatilität
89
Theorie
53
Theory
53
Stochastic process
44
Stochastischer Prozess
44
Zeitreihenanalyse
33
Estimation
28
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28
Estimation theory
25
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25
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22
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22
Capital income
19
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19
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18
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United States
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15
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12
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Nichtparametrisches Verfahren
11
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11
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9
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9
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8
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McAleer, Michael
5
Asai, Manabu
3
Cavaliere, Giuseppe
3
Taylor, Robert
3
Teräsvirta, Timo
3
Anatolyev, Stanislav
2
Jawadi, Fredj
2
Koopman, Siem Jan
2
Maasoumi, Esfandiar
2
Phillips, Peter C. B.
2
Amado, Cristina
1
Audrino, Francesco
1
Ausín, M. Concepción
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Bordignon, Silvano
1
Boswijk, Herman Peter
1
Brechmann, E. C.
1
Bu, Ruijun
1
Cai, Yuzhi
1
Cai, Zongwu
1
Cartea, Álvaro
1
Catani, Paul
1
Chan, Joshua
1
Chaussé, Pierre
1
Chen, Qiang
1
Christodoulakis, George A.
1
Corsi, Fulvio
1
Coudin, Elise
1
De Angelis, Luca
1
Dimitrakopoulos, Stefanos
1
Dufays, Arnaud
1
Dufour, Jean-Marie
1
Ftiti, Zied
1
Galbraith, John W.
1
Galeano, Pedro
1
Gospodinov, Nikolaj
1
Gu, Wentao
1
Han, Ai
1
Harvey, David I.
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Econometric reviews
Energy economics
151
Journal of econometrics
146
International journal of forecasting
133
Finance research letters
125
Journal of forecasting
119
Discussion paper / Tinbergen Institute
101
Economic modelling
99
International review of financial analysis
94
Journal of empirical finance
89
Applied economics
77
International review of economics & finance : IREF
75
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
The North American journal of economics and finance : a journal of financial economics studies
73
Journal of banking & finance
70
Quantitative finance
58
Economics letters
53
Working paper
52
The journal of futures markets
46
Journal of financial econometrics : official journal of the Society for Financial Econometrics
44
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Computational economics
43
Journal of risk and financial management : JRFM
43
Applied economics letters
41
Applied financial economics
40
Journal of financial econometrics
39
CREATES research paper
38
Journal of international financial markets, institutions & money
37
Research in international business and finance
37
Department of Economics working paper series
36
International journal of finance & economics : IJFE
36
The European journal of finance
35
Journal of applied econometrics
32
Econometric Institute research papers
30
Journal of financial economics
29
Pacific-Basin finance journal
28
Journal of economic dynamics & control
27
Risks : open access journal
27
SFB 649 discussion paper
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Econometrics : open access journal
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ECONIS (ZBW)
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Dynamic factor, leverage and realized covariances in multivariate stochastic
volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
3
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
4
Forecasting crude oil price intervals and return
volatility
via autoregressive conditional interval models
He, Yanan
;
Han, Ai
;
Hong, Yongmiao
;
Sun, Yuying
;
Wang, …
- In:
Econometric reviews
40
(
2021
)
6
,
pp. 584-606
Persistent link: https://www.econbiz.de/10012624525
Saved in:
5
GMM estimation of a realized stochastic
volatility
model : a Monte Carlo study
Chaussé, Pierre
;
Xu, Dinghai
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 719-743
Persistent link: https://www.econbiz.de/10012040406
Saved in:
6
Bayesian analysis of moving average stochastic
volatility
models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
7
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
8
Forecasting energy futures
volatility
with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
9
Data cloning estimation for asymmetric stochastic
volatility
models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
10
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
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