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~isPartOf:"Texto para discussão"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Gupta, Rangan"
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~subject:"Ölpreis"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
ARCH-Modell
Measurement
Monte-Carlo-Simulation
Theorie
United States
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Volatilität
21
Volatility
18
Theory
10
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9
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9
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7
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6
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5
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Andersen, Torben
Christoffersen, Peter F.
Gupta, Rangan
Medeiros, Marcelo C.
Diebold, Francis X.
11
Davis, Steven J.
10
Haltiwanger, John C.
9
Aizenman, Joshua
8
Aït-Sahalia, Yacine
8
Bollerslev, Tim
8
Hall, Robert Ernest
7
Campbell, John Y.
6
Schwert, George William
6
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5
Engel, Charles
5
Glaeser, Edward L.
5
Lazear, Edward P.
5
Lustig, Hanno
5
Rose, Andrew
5
Comin, Diego
4
Giglio, Stefano
4
Jaimovich, Nir
4
Kelly, Bryan T.
4
Lettau, Martin
4
Moffitt, Robert A.
4
Nieuwerburgh, Stijn van
4
Stulz, René M.
4
Agénor, Pierre-Richard
3
Altonji, Joseph G.
3
Ang, Andrew
3
Bansal, Ravi
3
Bates, David S.
3
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3
Carlin, Bruce Ian
3
Chari, Varadarajan V.
3
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3
Christiano, Lawrence J.
3
Cochrane, John H.
3
Devereux, Michael B.
3
Faberman, R. Jason
3
Farmer, Roger E. A.
3
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3
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Texto para discussão
Working paper / National Bureau of Economic Research, Inc.
Department of Economics working paper series
36
Working papers / Financial Institutions Center
7
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
6
CREATES research paper
5
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4
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4
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3
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3
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2
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2
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2
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2
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2
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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
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1
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1
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ECONIS (ZBW)
15
EconStor
2
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1
The pricing of short-term market risk : evidence from weekly options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2015
Persistent link: https://www.econbiz.de/10011347366
Saved in:
2
No-arbitrage semi-martingale restrictions for continuous-time
volatility
models subject to leverage effects, jumps and i.i.d. noise : theory and testable distributional implication...
Andersen, Torben
;
Bollerslev, Tim
;
Dobrev, Dobrislav
-
2007
intraday data and nonparametric
volatility
measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized
volatility
estimation. Size and power of the procedure are explored through …
Persistent link: https://www.econbiz.de/10003442519
Saved in:
3
Volatility
forecasting
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10002685057
Saved in:
4
Roughing it up : including jump components in the measurement, modeling and forecasting of return
volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2005
Persistent link: https://www.econbiz.de/10003217674
Saved in:
5
A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2005
Persistent link: https://www.econbiz.de/10002634153
Saved in:
6
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009539803
Saved in:
7
Modeling multiple regimes in financial
volatility
with a flexible coefficient GARCH model
Medeiros, Marcelo C.
;
Veiga, Alvaro
-
2004
financial
volatility
as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and …
Persistent link: https://www.econbiz.de/10011807314
Saved in:
8
Financial asset returns, direction-of-change forecasting, and
volatility
dynamics
Christoffersen, Peter F.
;
Diebold, Francis X.
-
2003
Persistent link: https://www.econbiz.de/10001806479
Saved in:
9
Evaluating the forecasting performance of GARCH models using White´s Reality Check
Souza, Leonardo
;
Veiga, Alvaro
;
Medeiros, Marcelo C.
-
2002
Persistent link: https://www.econbiz.de/10011807281
Saved in:
10
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
-
2001
Persistent link: https://www.econbiz.de/10001615265
Saved in:
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