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~person:"Andersen, Torben"
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Measurement"
~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
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87
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29
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Andersen, Torben
Martin, Gael M.
Medeiros, Marcelo C.
McAleer, Michael
134
Caporale, Guglielmo Maria
61
Chang, Chia-Lin
56
Gupta, Rangan
52
Bollerslev, Tim
44
Koopman, Siem Jan
44
Diebold, Francis X.
43
Lux, Thomas
42
Hautsch, Nikolaus
34
Pierdzioch, Christian
32
Spagnolo, Nicola
30
Asai, Manabu
27
Härdle, Wolfgang
27
Hafner, Christian M.
24
Lucas, André
24
Bos, Charles S.
22
Davis, Steven J.
21
Chiarella, Carl
20
Christensen, Bent Jesper
20
Dijk, Dick van
20
Fernández-Villaverde, Jesús
20
Merkl, Christian
20
Bauwens, Luc
19
Herwartz, Helmut
19
Bloom, Nicholas
18
Caporin, Massimiliano
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
Bekaert, Geert
16
Engle, Robert F.
16
Gil-Alaña, Luis A.
16
Mittnik, Stefan
16
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16
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14
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7
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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
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
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
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