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~language:"eng"
~language:"hun"
~person:"Allen, David E."
~person:"Bouri, Elie"
~person:"Chan, Joshua"
~person:"Chiarella, Carl"
~person:"Gupta, Rangan"
~person:"Hafner, Christian M."
~person:"Ma, Feng"
~person:"McEntarfer, Erika"
~person:"McMillan, David G."
~person:"Schnabl, Gunther"
~person:"Spagnolo, Nicola"
~subject:"Time series analysis"
~type_genre:"Arbeitspapier"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"volatility"
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Time series analysis
Volatility
639
Volatilität
637
ARCH model
220
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213
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213
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211
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Allen, David E.
Bouri, Elie
Chan, Joshua
Chiarella, Carl
Gupta, Rangan
Hafner, Christian M.
Ma, Feng
McEntarfer, Erika
McMillan, David G.
Schnabl, Gunther
Spagnolo, Nicola
McAleer, Michael
47
Caporale, Guglielmo Maria
35
Koopman, Siem Jan
34
Gil-Alaña, Luis A.
33
Lux, Thomas
27
Lucas, André
24
Andersen, Torben
22
Bollerslev, Tim
22
Härdle, Wolfgang
21
Tauchen, George Eugene
20
Rodriguez, Gabriel
17
Dijk, Dick van
16
Li, Jia
15
Taylor, Robert
15
Teräsvirta, Timo
15
Todorov, Viktor
15
Chang, Chia-Lin
14
Hallin, Marc
14
Sibbertsen, Philipp
14
Asai, Manabu
13
Cavaliere, Giuseppe
12
Hansen, Peter Reinhard
12
Hounyo, Ulrich
12
Kumar, Dilip
12
Meddahi, Nour
12
Bos, Charles S.
11
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11
Herwartz, Helmut
11
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11
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10
Baruník, Jozef
10
Degiannakis, Stavros
10
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10
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10
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10
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Asian African journal of economics and econometrics
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
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1
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1
International economics and economic policy : IEEP
1
Journal of applied econometrics
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ECONIS (ZBW)
81
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1
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81
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1
Forecasting
volatility
of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Liu, Ruipeng
;
Segnon, Mawuli
;
Cepni, Oguzhan
;
Gupta, Rangan
-
2023
Persistent link: https://www.econbiz.de/10014448138
Saved in:
2
Do U.S. economic conditions at the state level predict the realized
volatility
of oil-price returns? : a quantile machine-learning approach
Gupta, Rangan
;
Pierdzioch, Christian
- In:
Financial innovation : FIN
9
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014288917
Saved in:
3
Real-time forecast of DSGE models with time-varying
volatility
in GARCH form
Ivashchenko, Sergey
;
Ҫekin, Semih Emre
;
Gupta, Rangan
-
2022
Persistent link: https://www.econbiz.de/10012800653
Saved in:
4
Forecasting the oil price realized
volatility
: a multivariate heterogeneous autoregressive model
Tang, Yusui
;
Ma, Feng
;
Zhang, Yaojie
;
Wei, Yu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 4770-4783
Persistent link: https://www.econbiz.de/10013461377
Saved in:
5
Fast and accurate variational inference for large Bayesian VARs with stochastic
volatility
Chan, Joshua
;
Yu, Xuewen
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013539520
Saved in:
6
An oil futures
volatility
forecast perspective on the selection of high-frequency jump tests
Li, Xiafei
;
Liao, Yin
;
Lu, Xinjie
;
Ma, Feng
- In:
Energy economics
116
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013542124
Saved in:
7
Are multifractal processes suited to forecasting electricity price
volatility
? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
8
Comparing stochastic
volatility
specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
9
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
10
Return and
volatility
properties : stylized facts from the universe of cryptocurrencies and NFTs
Ghosh, Bikramaditya
;
Bouri, Elie
;
Wee, Jung Bum
; …
- In:
Research in international business and finance
65
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014432708
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