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~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"CAPM"
~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
Börsenkurs
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Volatilität
109
Volatility
106
Theory
46
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Andersen, Torben
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
McAleer, Michael
139
Caporale, Guglielmo Maria
61
Chang, Chia-Lin
56
Gupta, Rangan
52
Koopman, Siem Jan
46
Bollerslev, Tim
45
Diebold, Francis X.
44
Lux, Thomas
42
Hautsch, Nikolaus
34
Pierdzioch, Christian
32
Spagnolo, Nicola
30
Asai, Manabu
29
Härdle, Wolfgang
28
Hafner, Christian M.
24
Lucas, André
24
Bos, Charles S.
22
Chiarella, Carl
22
Christensen, Bent Jesper
21
Davis, Steven J.
21
Dijk, Dick van
21
Caporin, Massimiliano
20
Fernández-Villaverde, Jesús
20
Merkl, Christian
20
Bauwens, Luc
19
Herwartz, Helmut
19
Bekaert, Geert
18
Bloom, Nicholas
18
Clark, Todd E.
18
Mumtaz, Haroon
18
Aizenman, Joshua
17
Christiansen, Charlotte
17
Clements, Adam
17
Conrad, Christian
17
Teräsvirta, Timo
17
Allen, David E.
16
Engle, Robert F.
16
Gil-Alaña, Luis A.
16
Mittnik, Stefan
16
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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
15
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9
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8
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7
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4
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1
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Handbook of economic forecasting ; Vol. 1
1
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1
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1
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Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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ECONIS (ZBW)
83
EconStor
1
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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
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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