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~person:"Andersen, Torben"
~person:"Liao, Yin"
~person:"Marcellino, Massimiliano"
~subject:"Measurement"
~subject:"Prognoseverfahren"
~subject:"Stochastic process"
~subject:"Wechselkurs"
~type_genre:"Non-commercial literature"
~type_genre:"Working Paper"
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Measurement
Prognoseverfahren
Stochastic process
Wechselkurs
Volatility
81
Volatilität
81
Theorie
37
Theory
37
Forecasting model
28
Stochastischer Prozess
23
Capital income
22
Kapitaleinkommen
22
VAR model
20
VAR-Modell
20
Time series analysis
19
Zeitreihenanalyse
19
Estimation
18
Schätzung
18
Bayes-Statistik
17
Bayesian inference
17
USA
13
United States
13
ARCH model
12
ARCH-Modell
12
Börsenkurs
11
Share price
11
stochastic volatility
11
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10
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10
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10
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7
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7
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7
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7
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7
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7
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6
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6
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52
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English
52
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Andersen, Torben
Liao, Yin
Marcellino, Massimiliano
McAleer, Michael
70
Gupta, Rangan
45
Lux, Thomas
31
Koopman, Siem Jan
30
Pierdzioch, Christian
30
Diebold, Francis X.
28
Caporale, Guglielmo Maria
26
Bollerslev, Tim
25
Clark, Todd E.
24
Asai, Manabu
21
Bos, Charles S.
21
Carriero, Andrea
20
Belke, Ansgar
18
Martin, Gael M.
18
Chan, Joshua
16
Christoffersen, Peter F.
16
Clements, Adam
16
Dijk, Dick van
16
Härdle, Wolfgang
16
Chang, Chia-Lin
15
Herwartz, Helmut
15
Mumtaz, Haroon
15
Rodriguez, Gabriel
15
Hafner, Christian M.
14
Kočenda, Evžen
14
Caporin, Massimiliano
13
Huber, Florian
13
Medeiros, Marcelo C.
13
Lucas, André
12
Shephard, Neil G.
12
Chiarella, Carl
11
Forbes, Catherine Scipione
11
Mertens, Elmar
11
Platen, Eckhard
11
Salisu, Afees A.
11
Scharth, Marcel
11
Yu, Jun
11
Barndorff-Nielsen, Ole E.
10
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The Wharton Financial Institutions Center
2
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1
Université de Montréal / Département de sciences économiques
1
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Federal Reserve Bank of Cleveland working paper series
7
Working paper / National Bureau of Economic Research, Inc.
7
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5
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4
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3
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3
NCER working paper series
3
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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ECONIS (ZBW)
52
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21
Structural credit risk model with stochastic
volatility
: a particle-filter approach
Bu, Di
;
Liao, Yin
;
Pagan, Adrian R.
-
2013
Persistent link: https://www.econbiz.de/10010245573
Saved in:
22
Modeling and forecasting realized
volatility
: getting the most out of the jump component
Clements, Adam
;
Liao, Yin
-
2013
Persistent link: https://www.econbiz.de/10009789511
Saved in:
23
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
24
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10010202343
Saved in:
25
Does modeling jumps help? : a comparision of realized
volatility
models for risk prediction
Liao, Yin
-
2012
Persistent link: https://www.econbiz.de/10009562424
Saved in:
26
Stochastic
volatility
Andersen, Torben
;
Benzoni, Luca
-
2010
Persistent link: https://www.econbiz.de/10003937010
Saved in:
27
Do jumps matter? : forecasting multivariate realized
volatility
allowing for common jumps
Liao, Yin
;
Anderson, Heather M.
;
Vahid, Farshid
-
2010
Persistent link: https://www.econbiz.de/10008657960
Saved in:
28
Do jumps matter? : forecasting multivariate realized
volatility
allowing for common jumps
Liao, Yin
;
Anderson, Heather M.
;
Vahid, Farshid
-
2010
Persistent link: https://www.econbiz.de/10008661656
Saved in:
29
Stochastic
volatility
Andersen, Torben
;
Benzoni, Luca
-
2009
Persistent link: https://www.econbiz.de/10003880159
Saved in:
30
Realized
volatility
Andersen, Torben
(
contributor
);
Benzoni, Luca
(
contributor
)
-
2008
Persistent link: https://www.econbiz.de/10003786282
Saved in:
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