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~isPartOf:"Working papers / Financial Institutions Center"
~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Gupta, Rangan"
~person:"Härdle, Wolfgang"
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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Volatility
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Volatilität
10
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Andersen, Torben
Christoffersen, Peter F.
Gupta, Rangan
Härdle, Wolfgang
Medeiros, Marcelo C.
Diebold, Francis X.
9
Bollerslev, Tim
5
Anderson, Torben G.
1
Gatev, Evan G.
1
Mariano, Roberto S.
1
Schuermann, Til
1
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1
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1
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15
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12
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7
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ECONIS (ZBW)
7
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1
Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics : international evidence
Christoffersen, Peter F.
;
Diebold, Francis X.
;
Mariano, …
-
2007
Persistent link: https://www.econbiz.de/10003729191
Saved in:
2
Roughing it up : including jump components in the measurement, modeling and forecasting of return
volatility
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003586300
Saved in:
3
A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2005
Persistent link: https://www.econbiz.de/10002636085
Saved in:
4
Volatility
forecasting
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10002636128
Saved in:
5
Financial asset returns, direction-of-change forecasting, and
volatility
dynamics
Christoffersen, Peter F.
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002100081
Saved in:
6
Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return
volatility
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
Saved in:
7
Parametric and nonparametric
volatility
measurement
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685965
Saved in:
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