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~person:"Andersen, Torben"
~person:"Medeiros, Marcelo C."
~person:"Xu, Yongdeng"
~source:"econstor"
~subject:"ARCH-Modell"
~type_genre:"Working Paper"
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ARCH-Modell
Volatilität
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forecasting
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smooth transition
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nonlinear models
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High-frequency data
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financial econometrics
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heterogeneous autoregression
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long memory
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realized volatility
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volatility
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volatility forecasting
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Andersen, Torben
Medeiros, Marcelo C.
Xu, Yongdeng
Conrad, Christian
5
Karanasos, Menelaos
4
Teräsvirta, Timo
4
Alessi, Lucia
2
Barigozzi, Matteo
2
Bos, Charles S.
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Capasso, Marco
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Christensen, Bent Jesper
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Hafner, Christian M.
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Herwartz, Helmut
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Härdle, Wolfgang Karl
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Koopman, Siem Jan
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Nielsen, Morten Ørregaard
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Silvennoinen, Annastiina
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Veiga, Alvaro
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Adrian, Tobias
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Amisano, Gianni
1
Baillie, Richard T.
1
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1
Berg, Lennart
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Bettendorf, Leon
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Brunhart, Andreas
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Burren, Daniel
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Busch, Thomas
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Capistrán, Carlos
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Cappiello, Lorenzo
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Carnero, M. Angeles
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Chen, Chi-Chung
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Chu, Lan-Fen
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Forte, Gianfranco
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EconStor
ECONIS (ZBW)
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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:
2
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
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