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~person:"Andersen, Torben"
~person:"Medeiros, Marcelo C."
~person:"Xu, Yongdeng"
~source:"econstor"
~subject:"ARCH-Modell"
~subject:"USA"
~type_genre:"Working Paper"
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ARCH-Modell
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Volatilität
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forecasting
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smooth transition
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nonlinear models
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volatility forecasting
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Andersen, Torben
Medeiros, Marcelo C.
Xu, Yongdeng
Conrad, Christian
7
Hautsch, Nikolaus
7
Benati, Luca
4
Härdle, Wolfgang Karl
4
Karanasos, Menelaos
4
Koopman, Siem Jan
4
McAleer, Michael
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Teräsvirta, Timo
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Benk, Szilárd
3
Gillman, Max
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Kejak, Michal
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Ou, Yangguoyi
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Alessi, Lucia
2
Andersen, Torben G.
2
Asai, Manabu
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Barigozzi, Matteo
2
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Bollerslev, Tim
2
Bos, Charles S.
2
Capasso, Marco
2
Christensen, Bent Jesper
2
Diebold, Francis X.
2
Haas, Markus
2
Hafner, Christian M.
2
Herwartz, Helmut
2
Hoerova, Marie
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Kurz, Mordecai
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Loch, Karin
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Mittnik, Stefan
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Motolese, Maurizio
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Nielsen, Morten Ørregaard
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Reicher, Christopher Phillip
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EconStor
ECONIS (ZBW)
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Modeling and predicting the CBOE market
volatility
index
Fernandes, Marcelo
;
Medeiros, Marcelo C.
;
Scharth, Marcel
-
2007
This paper performs a thorough statistical examination of the time-series properties of the market
volatility
index …
Persistent link: https://www.econbiz.de/10011807372
Saved in:
2
Modeling multiple regimes in financial
volatility
with a flexible coefficient GARCH model
Medeiros, Marcelo C.
;
Veiga, Alvaro
-
2004
financial
volatility
as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and …
Persistent link: https://www.econbiz.de/10011807314
Saved in:
3
Evaluating the forecasting performance of GARCH models using White´s Reality Check
Souza, Leonardo
;
Veiga, Alvaro
;
Medeiros, Marcelo C.
-
2002
Persistent link: https://www.econbiz.de/10011807281
Saved in:
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