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Volatilität
31
Theorie
19
stochastic volatility
14
Stochastischer Prozess
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Zeitreihenanalyse
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Volatility
11
Stochastic volatility
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Schätzung
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ARCH-Modell
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Welt
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volatility
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Asymmetry
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USA
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Prognoseverfahren
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Zustandsraummodell
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Forecasting
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Monte-Carlo-Methode
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Stochastic Volatility
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risk management
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GARCH
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Long Memory
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Maximum-Likelihood-Methode
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Regularity conditions
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Risikomaß
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US-Dollar
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exchange rates
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high-frequency data
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leverage
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volatility models
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Bayes-Statistik
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Generalised autoregressive conditional heteroskedasticity model
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McAleer, Michael
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Koopman, Siem Jan
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Chang, Chia-Lin
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Asai, Manabu
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Bos, Charles S.
11
Allen, David E.
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van Wijnbergen, Sweder
7
Blasques, Francisco
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Lucas, André
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Singh, Abhay K.
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van Dijk, Dick
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Lucas, Andre
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Opschoor, Anne
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Hol, Eugenie
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Lord, Roger
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Ooms, Marius
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Scharth, Marcel
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Zhao, Lin
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van der Wel, Michel
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Caporin, Massimiliano
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Carnero, M. Angeles
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Chen, Chi-Chung
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Chen, Jinghui
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Gorgi, Paolo
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Hsu, Shu-Han
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Janus, Pawel
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Jungbacker, Borus
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Kahl, Christian
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Kobayashi, Masahito
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Koopman, S.J.
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Lit, Rutger
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Mahieu, Ronald J.
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Mai, Te-Ke
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Martens, Martin
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Peiris, Shelton
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Powell, Robert
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Powell, Robert J.
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Wang, Yu-Ann
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de Pooter, Michiel
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Tinbergen Institute Discussion Paper
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IMF Staff Country Reports
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Physica A: Statistical Mechanics and its Applications
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Journal of economic dynamics & control
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International Journal of Energy Economics and Policy : IJEEP
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EconStor
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ECONIS (ZBW)
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
van Dijk, Herman K.
-
1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic
volatility
, heavy tailed …
Persistent link: https://www.econbiz.de/10010324426
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