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~isPartOf:"International review of financial analysis"
~subject:"ARCH-Modell"
~subject:"Estimation"
~subject:"Prognoseverfahren"
~subject:"State space model"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Time series analysis"
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ARCH-Modell
Estimation
Prognoseverfahren
State space model
Stochastischer Prozess
Time series analysis
69
Zeitreihenanalyse
69
Volatility
29
Volatilität
29
Capital income
25
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42
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Gupta, Rangan
2
Alexander, Carol
1
Aye, Goodness C.
1
Bahcivan, Hulusi
1
Bassler, Kevin E.
1
Baur, Dirk G.
1
Beckmann, Joscha
1
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1
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1
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1
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1
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1
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1
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1
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1
Dent, Pamela
1
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1
Dinh Hoang Bach Phan
1
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1
He, Kaijian
1
Hess, Martin
1
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1
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International review of financial analysis
International journal of forecasting
463
Journal of econometrics
254
Journal of forecasting
246
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
185
Discussion paper / Tinbergen Institute
183
Economic modelling
173
Applied economics
149
Economics letters
139
Energy economics
133
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
123
Working paper / Department of Econometrics and Business Statistics, Monash University
119
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
117
Applied economics letters
113
Working paper
104
CESifo working papers
97
Computational economics
97
Econometric reviews
90
CREATES research paper
79
Journal of empirical finance
73
Finance research letters
69
Journal of applied econometrics
67
International review of economics & finance : IREF
62
The North American journal of economics and finance : a journal of financial economics studies
59
Journal of risk and financial management : JRFM
53
CAMA working paper series
52
Econometric theory
52
Journal of economic dynamics & control
51
International Journal of Energy Economics and Policy : IJEEP
50
Journal of banking & finance
47
European journal of operational research : EJOR
46
Applied financial economics
43
The econometrics journal
43
Econometrics : open access journal
42
Econometric Institute research papers
41
Empirical economics : a quarterly journal of the Institute for Advanced Studies
41
Research in international business and finance
39
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
Cambridge working papers in economics
38
Journal of financial econometrics : official journal of the Society for Financial Econometrics
38
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ECONIS (ZBW)
42
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1
Real-time forecast of DSGE models with time-varying volatility in GARCH form
Çekin, Semih Emre
;
Ivashchenko, Sergey
;
Gupta, Rangan
; …
- In:
International review of financial analysis
93
(
2024
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014543555
Saved in:
2
Temporal-spatial dependencies enhanced deep learning model for time series forecast
Yang, Hu
;
Chen, Yu
;
Chen, Kedong
;
Wang, Haijun
- In:
International review of financial analysis
94
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014543936
Saved in:
3
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
4
Causality between volatility and the weekly economic index during COVID-19 : the predictive power of efficient markets and rational expectations
Cooray, Arusha
;
Gangopadhyay, Partha
;
Das, Narasingha
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467255
Saved in:
5
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
Saved in:
6
Do commodity markets catch a cold from stock markets? : Modelling uncertainty spillovers using Google search trends and wavelet coherence
Szczygielski, Jan Jakub
;
Charteris, Ailie
;
Obojska, Lidia
- In:
International review of financial analysis
87
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014457702
Saved in:
7
A volatility model based on adaptive expectations : an improvement on the rational expectations model
Yao, Yuan
;
Zhao, Yang
;
Li, Yan
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013431245
Saved in:
8
High frequency correlation dynamics and day-of-the-week effect : a score-driven approach in an emerging market stock exchange
Bahcivan, Hulusi
;
Karahan, Cenk C.
- In:
International review of financial analysis
80
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013366247
Saved in:
9
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
Saved in:
10
Are carry, momentum and value still there in currencies?
Hutchinson, Mark
;
Kyziropoulos, Panagiotis E.
;
O'Brien, John
- In:
International review of financial analysis
83
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013455045
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