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~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Bauwens, Luc"
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Japan"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
Japan
Measurement
Monte-Carlo-Simulation
Theorie
United States
Volatilität
202
Volatility
197
Theory
65
Kapitaleinkommen
59
ARCH-Modell
58
Capital income
57
Schätzung
57
Estimation
55
Prognoseverfahren
54
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51
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50
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50
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49
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37
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27
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20
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19
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19
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18
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16
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16
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16
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14
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14
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13
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13
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forecasting
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61
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86
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81
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55
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6
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English
150
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Allen, David E.
Andersen, Torben
Bauwens, Luc
Medeiros, Marcelo C.
McAleer, Michael
199
Gupta, Rangan
156
Caporale, Guglielmo Maria
93
Bollerslev, Tim
89
Ma, Feng
77
Chang, Chia-Lin
73
Pierdzioch, Christian
60
Bouri, Elie
59
Diebold, Francis X.
58
Asai, Manabu
56
Koopman, Siem Jan
56
Lux, Thomas
54
Hautsch, Nikolaus
51
Spagnolo, Nicola
49
Bahmani-Oskooee, Mohsen
47
Hammoudeh, Shawkat
45
Härdle, Wolfgang
42
Caporin, Massimiliano
41
Gil-Alaña, Luis A.
40
Herwartz, Helmut
40
Wohar, Mark E.
39
Hafner, Christian M.
38
Clements, Adam
37
Dijk, Dick van
35
Kumar, Dilip
35
Engle, Robert F.
34
Salisu, Afees A.
34
Todorov, Viktor
34
Chiarella, Carl
33
Davis, Steven J.
33
Ghysels, Eric
33
Kang, Sang Hoon
33
McMillan, David G.
33
Tiwari, Aviral Kumar
33
Zhang, Yaojie
33
Christiansen, Charlotte
32
Lucas, André
32
Wang, Yudong
32
Teräsvirta, Timo
31
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2
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2
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1
Rodney L. White Center for Financial Research
1
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14
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10
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7
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7
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6
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6
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6
CREATES research paper
5
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5
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5
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4
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3
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3
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3
International journal of forecasting
3
Journal of applied econometrics
3
Journal of financial markets
3
Applied economics
2
Econometric reviews
2
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Foreign exchange markets
2
Global COE Hi-Stat discussion paper series
2
International economic review
2
Journal of risk and financial management : JRFM
2
LIDAM discussion paper CORE
2
The North American journal of economics and finance : a journal of financial economics studies
2
Tinbergen Institute Discussion Paper
2
Working papers / Federal Reserve Bank of Chicago
2
American Economic Review papers and proceedings
1
Annals of economics and statistics
1
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
CEFIR and NES working papers
1
CORE discussion paper : DP
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Cardiff economics working papers
1
Department of Economics discussion paper series / University of Oxford
1
Economics discussion papers
1
Emerging markets and the global economy
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
147
EconStor
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141
Forecasting financial market
volatility
: sample frequency vis-à-vis forecast horizon
Andersen, Torben
;
Bollerslev, Tim
;
Lange, Steve
- In:
Journal of empirical finance
6
(
1999
)
5
,
pp. 457-477
Persistent link: https://www.econbiz.de/10001505784
Saved in:
142
Answering the skeptics : yes, standard
volatility
models do provide accurate forecasts
Andersen, Torben
- In:
International economic review
39
(
1998
)
4
,
pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
Saved in:
143
Deutsche Mark-dollar
volatility
: intraday activity patterns, macroeconomic announcements and longer run dependencies
Andersen, Torben
- In:
The journal of finance : the journal of the American …
53
(
1998
)
1
,
pp. 219-265
Persistent link: https://www.econbiz.de/10001235487
Saved in:
144
Answering the critics : yes, arch models do provide good
volatility
forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
145
Heterogeneous information arrivals and return
volatility
dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
- In:
The journal of finance : the journal of the American …
52
(
1997
)
3
,
pp. 975-1005
Persistent link: https://www.econbiz.de/10001225624
Saved in:
146
Estimating continuous-time stochastic
volatility
models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
Saved in:
147
Heterogeneous information arrivals and return
volatility
dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000603372
Saved in:
148
DM-dollar
volatility
: intraday activity patterns, macroeconomic announcements, and longer run dependencies
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000609240
Saved in:
149
GMM estimation of a stochastic
volatility
model : a Monte Carlo study
Andersen, Torben
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
3
,
pp. 328-352
Persistent link: https://www.econbiz.de/10001334392
Saved in:
150
Volatility
Andersen, Torben
-
1992
Persistent link: https://www.econbiz.de/10000914157
Saved in:
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