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~isPartOf:"Tinbergen Institute Discussion Papers"
~isPartOf:"Working paper"
~person:"Clements, Adam"
~person:"Davis, Steven J."
~person:"Engle, Robert F."
~person:"Lahaye, Jérôme"
~person:"McAleer, Michael"
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Search: subject_exact:"Volatility"
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Volatility
48
Volatilität
46
ARCH model
16
ARCH-Modell
16
Estimation
15
Schätzung
15
Welt
11
World
11
Börsenkurs
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Forecasting model
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Stochastic process
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Spillover-Effekt
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Zeitreihenanalyse
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Ölpreis
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46
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Clements, Adam
Davis, Steven J.
Engle, Robert F.
Lahaye, Jérôme
McAleer, Michael
Chang, Chia-Lin
16
Neely, Christopher J.
15
Mumtaz, Haroon
14
Manera, Matteo
11
Guo, Hui
9
Raunig, Burkhard
7
Christiansen, Charlotte
6
Nguyen, Hoang
6
Kapetanios, George
5
Koopman, Siem Jan
5
Mignon, Valérie
5
Roengchai Tansuchat
5
Skiadopoulos, George
5
Theodoridis, Konstantinos
5
Allen, David E.
4
Asai, Manabu
4
Bloom, Nicholas
4
Carnero, M. Angeles
4
Chen, Chi-chung
4
Escribano, Álvaro
4
Hammoudeh, Shawkat
4
Karlsson, Sune
4
Laurent, Sébastien
4
Ooms, Marius
4
Savickas, Robert
4
Wen, Yi
4
Österholm, Pär
4
Baker, Scott
3
Bastianin, Andrea
3
Behmiri, Niaz Bashiri
3
Blazsek, Szabolcs
3
Caporin, Massimiliano
3
Erdemlioglu, Deniz
3
Héricourt, Jérôme
3
Medeiros, Marcelo C.
3
Nicolini, Marcella
3
Piger, Jeremy Max
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University of Canterbury / Dept. of Economics and Finance
9
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4
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Tinbergen Institute Discussion Papers
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Econometric Institute research papers
72
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53
NCER working paper series
23
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13
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12
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12
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The North American journal of economics and finance : a journal of financial economics studies
8
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4
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Mathematics and Computers in Simulation (MATCOM)
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School of Accounting, Finance and Economics & FEMARC working paper series
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Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
3
The North American Journal of Economics and Finance
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2
Econometrics Working Papers Archive
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
46
RePEc
4
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1
COVID-induced economic uncertainty
Baker, Scott
;
Bloom, Nicholas
;
Davis, Steven J.
;
Terry, …
-
2020
Persistent link: https://www.econbiz.de/10012204869
Saved in:
2
What triggers stock market jumps?
Baker, Scott
;
Bloom, Nicholas
;
Davis, Steven J.
; …
-
2021
Persistent link: https://www.econbiz.de/10012588173
Saved in:
3
Policy news and stock market volatility
Baker, Scott
;
Bloom, Nicholas
;
Davis, Steven J.
;
Kost, Kyle
-
2019
Persistent link: https://www.econbiz.de/10012026867
Saved in:
4
The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Lahaye, Jérôme
;
Neely, Christopher J.
-
2014
Persistent link: https://www.econbiz.de/10010423538
Saved in:
5
Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10011296515
Saved in:
6
Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010348324
Saved in:
7
Machine news and volatility : the Dow Jones industrial average and the TRNA sentiment series
Allen, David E.
;
McAleer, Michael
;
Singh, Abhay Kumar
-
2014
Persistent link: https://www.econbiz.de/10010242810
Saved in:
8
Asymmetry and leverage in conditional volatility models
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410186
Saved in:
9
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
Persistent link: https://www.econbiz.de/10010410195
Saved in:
10
Asymmetric realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2014
Persistent link: https://www.econbiz.de/10010410196
Saved in:
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