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~isPartOf:"Energy economics"
~isPartOf:"Journal of business economics : JBE"
~isPartOf:"Tinbergen Institute Discussion Papers"
~person:"Paap, Richard"
~person:"Scharth, Marcel"
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Paap, Richard
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Asymmetric Realized Volatility Risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
Tinbergen Instituut
-
2014
forecasting
errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011272575
Saved in:
2
Realized Volatility Risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
Tinbergen Instituut
-
2013
forecasting
errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164
Saved in:
3
An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den
;
Paap, Richard
;
Dijk, Dick J.C. van
-
Tinbergen Institute
-
2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10008838634
Saved in:
4
An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den
;
Paap, Richard
;
Dijk, Dick J.C. van
-
Tinbergen Instituut
-
2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011257521
Saved in:
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