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~institution:"Erasmus University Rotterdam, Econometric Institute"
~institution:"School of Economics and Management, University of Aarhus"
~subject:"Bayesian decision making"
~subject:"long memory"
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Bayesian Tail Risk Forecasting...
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Bayesian decision making
long memory
GARCH
29
high-frequency data
14
High-Frequency Data
10
Central Limit Theorem
7
risk management
7
stochastic volatility
7
High-frequency data
6
Semimartingale Theory
6
jumps
6
value-at-risk
6
market microstructure noise
5
Bipower Variation
4
EGARCH
4
GJR
4
Volatility
4
exchange rates
4
Diffusion Models
3
HAR
3
Integrated Volatility
3
Microstructure Noise
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asymmetry
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global financial crisis
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leverage
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realized volatility
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violations
3
Exchange rates
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Extreme events
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Forecasting
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Goodness-Of- Fit Testing
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Integrated variance
2
Korean tourist arrivals
2
Range-Based Bipower Variation
2
Realized Variance
2
Realized volatility
2
Risk management
2
Stochastic volatility
2
conditional value-at-risk
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Bos, C.S.
2
Chang, C-L.
2
Dijk, H.K. van
2
Mahieu, R.J.
2
McAleer, M.J.
2
Christensen, Bent Jesper
1
Nielsen, Morten Ørregaard
1
Zhu, Jie
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Erasmus University Rotterdam, Econometric Institute
School of Economics and Management, University of Aarhus
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
4
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
4
EconWPA
3
Tinbergen Institute
3
Tinbergen Instituut
3
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
2
CESifo
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Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
1
Department of Economics, University of California-San Diego (UCSD)
1
Development and Policies Research Center (Depocen)
1
Economics Department, Queen's University
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Graduate School of Economics, Osaka University
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Nationale Bank van België/Banque national de Belqique (BNB)
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Stockholm China Economic Research Institute, Handelshögskolan i Stockholm
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1
Daily exchange rate behaviour and hedging of currency risk
Bos, C.S.
;
Mahieu, R.J.
;
Dijk, H.K. van
-
Erasmus University Rotterdam, Econometric Institute
-
2000
methods. The effects of several model characteristics (unit roots,
GARCH
, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10008570624
Saved in:
2
Daily exchange rate behaviour and hedging of currency risk
Bos, C.S.
;
Mahieu, R.J.
;
Dijk, H.K. van
-
Erasmus University Rotterdam, Econometric Institute
-
1999
Carlo methods. The effects of several model characteristics (unit roots,
GARCH
, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10008584714
Saved in:
3
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008570643
Saved in:
4
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008584711
Saved in:
5
Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
; …
-
School of Economics and Management, University of Aarhus
-
2007
We extend the fractionally integrated exponential
GARCH
(FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative
GARCH
…
Persistent link: https://www.econbiz.de/10005034729
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