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~institution:"Centre for Economic Policy Research"
~institution:"University of Canterbury / Dept. of Economics and Finance"
~subject:"Estimation"
~subject:"Markov-Kette"
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
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2012
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Rev.
Persistent link: https://www.econbiz.de/10009562985
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Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
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McAleer, Michael
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Oya, Kosuke
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2011
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1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
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Size distortions of tests of the null hypothesis of stationarity : evidence and implications for the PPP debate
Caner, Mehmet
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2000
Persistent link: https://www.econbiz.de/10013423063
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