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~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~person:"Nielsen, Morten Ørregaard"
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Stochastischer Prozess"
~subject:"Theorie"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
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39
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Andersen, Torben
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
Nielsen, Morten Ørregaard
McAleer, Michael
126
Caporale, Guglielmo Maria
54
Chang, Chia-Lin
47
Gupta, Rangan
46
Koopman, Siem Jan
45
Lux, Thomas
42
Diebold, Francis X.
38
Bollerslev, Tim
36
Hautsch, Nikolaus
34
Härdle, Wolfgang
31
Pierdzioch, Christian
30
Asai, Manabu
27
Spagnolo, Nicola
26
Hafner, Christian M.
25
Bos, Charles S.
24
Lucas, André
23
Caporin, Massimiliano
21
Chiarella, Carl
21
Christensen, Bent Jesper
20
Merkl, Christian
20
Bauwens, Luc
19
Clements, Adam
19
Herwartz, Helmut
19
Mumtaz, Haroon
19
Fernández-Villaverde, Jesús
18
Aizenman, Joshua
17
Allen, David E.
17
Conrad, Christian
17
Marcellino, Massimiliano
17
Platen, Eckhard
17
Teräsvirta, Timo
17
Bloom, Nicholas
16
Carriero, Andrea
16
Clark, Todd E.
16
Mittnik, Stefan
16
Rodriguez, Gabriel
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Working paper / Department of Econometrics and Business Statistics, Monash University
17
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13
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9
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8
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7
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Handbook of economic forecasting ; Vol. 1
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ECONIS (ZBW)
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EconStor
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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
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
10
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
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