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~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Gupta, Rangan"
~person:"Herwartz, Helmut"
~person:"Härdle, Wolfgang"
~person:"Lux, Thomas"
~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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ARCH model
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253
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244
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99
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96
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Andersen, Torben
Christoffersen, Peter F.
Gupta, Rangan
Herwartz, Helmut
Härdle, Wolfgang
Lux, Thomas
Medeiros, Marcelo C.
McAleer, Michael
125
Chang, Chia-Lin
50
Koopman, Siem Jan
44
Diebold, Francis X.
43
Bollerslev, Tim
40
Caporale, Guglielmo Maria
33
Asai, Manabu
29
Hafner, Christian M.
24
Bos, Charles S.
22
Chiarella, Carl
22
Christensen, Bent Jesper
22
Hautsch, Nikolaus
22
Lucas, André
22
Pierdzioch, Christian
22
Dijk, Dick van
20
Fernández-Villaverde, Jesús
20
Merkl, Christian
20
Bauwens, Luc
19
Clark, Todd E.
18
Nielsen, Morten Ørregaard
17
Conrad, Christian
16
Davis, Steven J.
16
Mumtaz, Haroon
16
Teräsvirta, Timo
16
Caporin, Massimiliano
15
Clements, Adam
15
Engle, Robert F.
15
Haltiwanger, John C.
15
Hansen, Peter Reinhard
15
Mittnik, Stefan
15
Rubio-Ramírez, Juan Francisco
15
Silvennoinen, Annastiina
15
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14
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3
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30
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15
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12
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11
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10
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8
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8
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6
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4
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4
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3
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2
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2
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1
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1
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Handbook of economic forecasting ; Vol. 1
1
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ECONIS (ZBW)
160
EconStor
14
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161
Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang
;
Schmidt, Peter
-
2000
Persistent link: https://www.econbiz.de/10001555314
Saved in:
162
Adaptive estimation for a time inhomogeneous stochastic-
volatility
model
Härdle, Wolfgang
;
Spokojnyj, Vladimir G.
;
Teyssière, …
-
2000
Persistent link: https://www.econbiz.de/10001470372
Saved in:
163
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
Persistent link: https://www.econbiz.de/10001413478
Saved in:
164
How relevant is
volatility
forecasting for financial risk management?
Christoffersen, Peter F.
;
Diebold, Francis X.
-
1998
Persistent link: https://www.econbiz.de/10001350963
Saved in:
165
Multivariate
volatility
analysis of VW stock prices
Herwartz, Helmut
;
Lütkepohl, Helmut
-
1998
Persistent link: https://www.econbiz.de/10000992357
Saved in:
166
Flexible stochastic
volatility
structures for high frequency financial data
Feldmann, David
;
Härdle, Wolfgang
;
Hafner, Christian M.
; …
-
1998
Persistent link: https://www.econbiz.de/10000992362
Saved in:
167
Volatility
impulse response functions for multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
-
1998
Persistent link: https://www.econbiz.de/10001363211
Saved in:
168
Volatility
clustering in financial markets : a micro-simulation of interacting agents
Lux, Thomas
;
Marchesi, Michele
-
1998
Persistent link: https://www.econbiz.de/10001372570
Saved in:
169
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:
170
Discrete time option pricing with flexible
volatility
estimation
Härdle, Wolfgang
-
1997
Persistent link: https://www.econbiz.de/10000971105
Saved in:
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