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~person:"Andersen, Torben"
~person:"Chiarella, Carl"
~person:"Christoffersen, Peter F."
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Aufsatz im Buch"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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Search: subject:"Volatility"
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ARCH model
Börsenkurs
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United States
Volatilität
147
Volatility
144
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68
Stochastic process
45
Stochastischer Prozess
45
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40
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38
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36
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36
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30
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29
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29
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29
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25
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14
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107
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Andersen, Torben
Chiarella, Carl
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
McAleer, Michael
136
Caporale, Guglielmo Maria
61
Chang, Chia-Lin
57
Gupta, Rangan
52
Bollerslev, Tim
47
Diebold, Francis X.
45
Koopman, Siem Jan
44
Lux, Thomas
43
Hautsch, Nikolaus
38
Pierdzioch, Christian
33
Härdle, Wolfgang
31
Spagnolo, Nicola
31
Asai, Manabu
27
Hafner, Christian M.
25
Davis, Steven J.
24
Lucas, André
24
Herwartz, Helmut
23
Bos, Charles S.
22
Aizenman, Joshua
21
Dijk, Dick van
21
Christensen, Bent Jesper
20
Fernández-Villaverde, Jesús
20
Haltiwanger, John C.
20
Merkl, Christian
20
Bauwens, Luc
19
Bloom, Nicholas
18
Caporin, Massimiliano
18
Clark, Todd E.
18
Mittnik, Stefan
18
Mumtaz, Haroon
18
Teräsvirta, Timo
18
Allen, David E.
17
Christiansen, Charlotte
17
Clements, Adam
17
Conrad, Christian
17
Engle, Robert F.
17
Bekaert, Geert
16
Gil-Alaña, Luis A.
16
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3
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2
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1
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Working paper / National Bureau of Economic Research, Inc.
16
Working paper / Department of Econometrics and Business Statistics, Monash University
14
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13
CREATES research paper
7
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7
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7
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7
CFS working paper series
4
Econometric Institute research papers
3
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3
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2
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2
The Oxford handbook of computational economics and finance
2
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2
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2
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1
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1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Contemporary quantitative finance : essays in honour of Eckhard Platen
1
Department of Economics discussion paper series / University of Oxford
1
Economic theory and international trade : essays in honour of Murray C. Kemp
1
Economics discussion papers
1
Handbook of economic forecasting ; Vol. 1
1
Handbook of financial time series
1
International finance discussion papers
1
Staff working paper / Bank of Canada
1
Technical working paper / National Bureau of Economic Research
1
Texto para discussão
1
Tools and techniques
1
Working paper
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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ECONIS (ZBW)
106
EconStor
1
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ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
3
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
4
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
5
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
6
Construction and visualization of optimal confidence sets for frequentist distributional forecasts
Harris, David
;
Martin, Gael M.
;
Perera, Indeewara
; …
-
2017
Persistent link: https://www.econbiz.de/10011782085
Saved in:
7
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
8
Optimal probabilistic forecasts : when do they work?
Martin, Gael M.
;
Loiza-Maya, Ruben
;
Frazier, David T.
; …
-
2020
Persistent link: https://www.econbiz.de/10012610795
Saved in:
9
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
10
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
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