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Forecasting model
642
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642
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572
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572
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397
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Hyndman, Rob J.
17
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11
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10
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10
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10
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10
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9
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9
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9
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8
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8
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7
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7
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7
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7
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7
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6
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6
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6
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6
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6
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6
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5
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5
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5
Wang, Yudong
5
Weron, Rafał
5
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5
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5
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International journal of forecasting
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2,273
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1,840
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1,813
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1,682
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1,616
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1,366
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1,357
International review of financial analysis
1,242
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1,096
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1,037
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1,027
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1,021
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971
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941
International review of economics & finance : IREF
940
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927
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833
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710
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699
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697
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684
Journal of international financial markets, institutions & money
671
Econometric reviews
662
The journal of futures markets
643
The Nigerian journal of economic and social studies
616
Journal of forecasting
584
CESifo working papers
577
International journal of economics and finance
572
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
568
Review of quantitative finance and accounting
559
The European journal of finance
559
Journal of international money and finance
558
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
550
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ECONIS (ZBW)
821
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1
Stock market
volatility
forecasting : do we need high-frequency data?
Lyócsa, Štefan
;
Molnár, Peter
;
Výrost, Tomáš
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1092-1110
Persistent link: https://www.econbiz.de/10012794812
Saved in:
2
Identification of
volatility
proxies as expectations of squared financial
returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
Saved in:
3
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
4
Dynamics of financial
returns
densities : a functional approach applied to the Bovespa intraday index
Horta, Eduardo
;
Ziegelmann, Flávio A.
- In:
International journal of forecasting
34
(
2018
)
1
,
pp. 75-88
Persistent link: https://www.econbiz.de/10012030843
Saved in:
5
Forecasting the variability of stock index
returns
with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina
;
Lux, Thomas
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344
Saved in:
6
Volatility
analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
7
Multivariate
volatility
forecasts for stock market indices
Wilms, Ines
;
Rombouts, Jeroen V. K.
;
Croux, Christophe
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
Saved in:
8
Improved recession dating using stock market
volatility
Huang, Yu-Fan
;
Startz, Richard
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 507-514
Persistent link: https://www.econbiz.de/10012415194
Saved in:
9
Forecasting S&P 500
volatility
: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin
;
Dijk, Dick van
;
Pooter, Michiel de
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
Saved in:
10
Forecasting zero-inflated price changes with a Markov switching mixture model for autoregressive and heteroscedastic time series
Kömm, Holger
;
Küsters, Ulrich
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 598-608
Persistent link: https://www.econbiz.de/10011474425
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