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~subject:"Forecasting model"
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Search: subject_exact:"GARCH model"
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Forecasting model
ARCH model
10,205
ARCH-Modell
10,205
Volatility
6,222
Volatilität
6,219
Schätzung
2,895
Estimation
2,892
Theorie
2,581
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2,579
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2,234
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2,234
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2,190
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2,187
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1,972
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1,972
Zeitreihenanalyse
1,776
Time series analysis
1,772
Prognoseverfahren
1,726
Estimation theory
1,040
Schätztheorie
1,040
Spillover effect
1,034
Spillover-Effekt
1,034
Risikomaß
1,006
Risk measure
1,006
GARCH
929
USA
929
Exchange rate
924
Wechselkurs
922
United States
921
Welt
842
World
842
Correlation
802
Korrelation
802
Oil price
705
Ölpreis
705
Portfolio selection
666
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666
Aktienindex
616
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614
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557
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1,714
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6
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Ma, Feng
58
Gupta, Rangan
46
Zhang, Yaojie
32
McAleer, Michael
28
Liang, Chao
22
Wang, Yudong
20
Wei, Yu
19
Caporin, Massimiliano
17
Degiannakis, Stavros
15
Kumar, Dilip
15
Molnár, Peter
15
Ardia, David
13
Chen, Cathy W. S.
13
Wu, Xinyu
13
Bouri, Elie
12
Lu, Xinjie
12
Nonejad, Nima
12
Paolella, Marc S.
12
Ñíguez, Trino-Manuel
12
Catania, Leopoldo
11
Liu, Jing
11
Lux, Thomas
11
Wang, Jiqian
11
Blazsek, Szabolcs
10
Li, Yan
10
Trojani, Fabio
10
Wahab, M. I. M.
10
Wang, Lu
10
Audrino, Francesco
9
Barigozzi, Matteo
9
Chlebus, Marcin
9
Engle, Robert F.
9
Hallin, Marc
9
Huang, Dengshi
9
McMillan, David G.
9
Mittnik, Stefan
9
Ravazzolo, Francesco
9
Salisu, Afees A.
9
Segnon, Mawuli
9
Bollerslev, Tim
8
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National Bureau of Economic Research
3
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Brown University / Department of Economics
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Gottfried Wilhelm Leibniz Universität Hannover
2
Instituto Valenciano de Investigaciones Económicas
2
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1
Banca nazionale del lavoro / Ufficio studi
1
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1
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1
Federal Reserve Bank of San Francisco
1
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1
International Workshop on Statistics and Finance <1999, Hongkong>
1
Pontifícia Universidade Católica do Rio de Janeiro / Departamento de Economia
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
Westfälische Wilhelms-Universität Münster
1
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International journal of forecasting
80
Journal of forecasting
72
Energy economics
70
Finance research letters
50
International review of financial analysis
40
The North American journal of economics and finance : a journal of financial economics studies
38
Applied economics
37
Journal of empirical finance
33
International review of economics & finance : IREF
31
Economic modelling
26
Applied economics letters
21
Journal of econometrics
20
Journal of international financial markets, institutions & money
19
Applied financial economics
18
Department of Economics working paper series
17
Journal of banking & finance
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
The European journal of finance
16
Discussion paper / Tinbergen Institute
15
Economics letters
15
International journal of finance & economics : IJFE
15
Computational economics
14
Quantitative finance
14
Research in international business and finance
14
Journal of risk and financial management : JRFM
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Pacific-Basin finance journal
12
Journal of financial econometrics
11
Journal of risk
11
Risks : open access journal
11
Working paper
11
Working papers
11
Econometric Institute research papers
10
International Journal of Energy Economics and Policy : IJEEP
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Financial innovation : FIN
8
International journal of economics and finance
8
Journal of applied econometrics
8
Journal of commodity markets
8
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ECONIS (ZBW)
1,724
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1
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1,724
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Improving volatility forecasts : evidence from range-based models
Fałdziński, Marcin
;
Fiszeder, Piotr
;
Molnár, Peter
- In:
The North American journal of economics and finance : a …
69
(
2024
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014445632
Saved in:
3
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
4
Bond indices maturities and changing macroeconomic conditions : evidence from South Africa
Moodley, Fabian
- In:
Journal of Economics and Financial Analysis
8
(
2024
)
1
,
pp. 57-73
Persistent link: https://www.econbiz.de/10014486924
Saved in:
5
The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference
Sheng, Lin Wen
;
Uddin, Mohammed Gazi Salah
;
Sen, Ding
; …
- In:
International review of financial analysis
91
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014446963
Saved in:
6
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
7
Modeling and forecasting closing prices of some coal mining companies in Indonesia by using the VAR(3)-BEKK GARCH (1,1) model
Wamiliana
;
Russel, Edwin
;
Alam, Iskandar Ali
;
Widiarti
; …
- In:
International Journal of Energy Economics and Policy : IJEEP
14
(
2024
)
1
,
pp. 579-591
Persistent link: https://www.econbiz.de/10014494811
Saved in:
8
Deep learning for multivariate volatility forecasting in high-dimensional financial time series
Iwafuchi, Rei
;
Matsuda, Yasumasa
-
2024
Persistent link: https://www.econbiz.de/10014526627
Saved in:
9
Volatility forecasting with machine learning and intraday commonality
Zhang, Chao
;
Cucuringu, Mihai
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 492-530
Persistent link: https://www.econbiz.de/10014526335
Saved in:
10
Energy market uncertainties and exchange rate volatility : a GARCHMIDAS approach
Salisu, Afees A.
;
Ogbonna, Ahamuefula Ephraim
;
Gupta, Rangan
-
2024
Persistent link: https://www.econbiz.de/10014521267
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