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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:"Measurement"
~subject:"Theorie"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
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Volatilität
128
Volatility
119
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39
Capital income
38
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38
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Andersen, Torben
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
Nielsen, Morten Ørregaard
McAleer, Michael
96
Chang, Chia-Lin
41
Diebold, Francis X.
38
Koopman, Siem Jan
38
Lux, Thomas
34
Bollerslev, Tim
31
Härdle, Wolfgang
25
Caporale, Guglielmo Maria
23
Hafner, Christian M.
23
Gupta, Rangan
22
Bos, Charles S.
21
Lucas, André
21
Merkl, Christian
20
Asai, Manabu
19
Bauwens, Luc
19
Christensen, Bent Jesper
18
Chiarella, Carl
17
Hautsch, Nikolaus
17
Herwartz, Helmut
17
Pierdzioch, Christian
17
Clements, Adam
15
Fernández-Villaverde, Jesús
15
Hansen, Peter Reinhard
15
Mittnik, Stefan
15
Mumtaz, Haroon
14
Teräsvirta, Timo
14
Agénor, Pierre-Richard
13
Aizenman, Joshua
13
Engle, Robert F.
13
Silvennoinen, Annastiina
13
Caporin, Massimiliano
12
Carriero, Andrea
12
Clark, Todd E.
12
Dijk, Dick van
12
Lunde, Asger
12
Lütkepohl, Helmut
12
Marcellino, Massimiliano
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11
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10
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7
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6
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5
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5
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4
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3
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2
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1
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Handbook of economic forecasting ; Vol. 1
1
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ECONIS (ZBW)
68
EconStor
4
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
10
Time-varying periodicity in intraday
volatility
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797522
Saved in:
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