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~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Hafner, Christian M."
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Theorie"
~subject:"Theory"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
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Volatilität
137
Volatility
133
Stochastic process
41
Stochastischer Prozess
41
Prognoseverfahren
39
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37
Capital income
36
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35
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34
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Andersen, Torben
Christoffersen, Peter F.
Hafner, Christian M.
Martin, Gael M.
Medeiros, Marcelo C.
McAleer, Michael
117
Caporale, Guglielmo Maria
51
Chang, Chia-Lin
47
Gupta, Rangan
45
Koopman, Siem Jan
42
Lux, Thomas
42
Diebold, Francis X.
38
Bollerslev, Tim
35
Hautsch, Nikolaus
33
Pierdzioch, Christian
30
Härdle, Wolfgang
27
Spagnolo, Nicola
26
Lucas, André
23
Bos, Charles S.
22
Asai, Manabu
20
Merkl, Christian
20
Bauwens, Luc
19
Christensen, Bent Jesper
19
Chiarella, Carl
18
Herwartz, Helmut
18
Aizenman, Joshua
17
Clements, Adam
17
Conrad, Christian
17
Fernández-Villaverde, Jesús
17
Teräsvirta, Timo
17
Allen, David E.
16
Bloom, Nicholas
16
Mittnik, Stefan
16
Mumtaz, Haroon
16
Nielsen, Morten Ørregaard
16
Caporin, Massimiliano
15
Hansen, Peter Reinhard
15
Kočenda, Evžen
15
Silvennoinen, Annastiina
15
Christiansen, Charlotte
14
Dijk, Dick van
14
Engle, Robert F.
14
Karanasos, Menelaos
14
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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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Working paper / Department of Econometrics and Business Statistics, Monash University
14
Working paper / National Bureau of Economic Research, Inc.
13
CREATES research paper
7
CORE discussion papers : DP
6
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6
Working papers / Financial Institutions Center
6
CFS working paper series
4
Econometric Institute research papers
4
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3
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
Financial Institutions Center
3
Discussion paper / Tinbergen Institute
2
Discussion papers of interdisciplinary research project 373
2
Global COE Hi-Stat discussion paper series
2
SFB 649 discussion paper
2
Working paper
2
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2
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Department of Economics discussion paper series / University of Oxford
1
Discussion paper / Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA)
1
Economics Working Paper
1
Economics discussion papers
1
Handbook of economic forecasting ; Vol. 1
1
International finance discussion papers
1
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
1
SFB 649 Discussion Paper
1
Staff working paper / Bank of Canada
1
Technical working paper / National Bureau of Economic Research
1
Texto para discussão
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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ECONIS (ZBW)
91
EconStor
3
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1
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
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
-
2018
Persistent link: https://www.econbiz.de/10011993276
Saved in:
7
A simple model for now-casting
volatility
series
Breitung, Jörg
;
Hafner, Christian M.
-
2015
Persistent link: https://www.econbiz.de/10011581871
Saved in:
8
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:
9
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:
10
Optimal probabilistic forecasts : when do they work?
Martin, Gael M.
;
Loiza-Maya, Ruben
;
Frazier, David T.
; …
-
2020
Persistent link: https://www.econbiz.de/10012610795
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