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What good is a volatility mode...
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ARCH-Modell
Theorie
130
Theory
130
Time series analysis
80
Zeitreihenanalyse
80
Volatility
78
Volatilität
78
USA
67
United States
67
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66
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60
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59
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19
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24
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English
59
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Engle, Robert F.
52
Sheppard, Kevin
8
Ledoit, Olivier
7
Patton, Andrew J.
7
Wolf, Michael
7
Bollerslev, Tim
4
De Nard, Gianluca
4
Diebold, Francis X.
3
Rangel, Jose Gonzalo
3
Shephard, Neil G.
3
Barone-Adesi, Giovanni
2
Burns, Patrick
2
Cappiello, Lorenzo
2
Lee, Gary G. J.
2
Mancini, Loriano
2
Mezrich, Joseph
2
Nelson, Daniel B.
2
Rosenberg, Joshua V.
2
Russell, Jeffrey R.
2
Siriwardane, Emil N.
2
Susmel, Raul
2
Berd, Arthur
1
Binsbergen, Jules H. van
1
Brownlees, Christian
1
Chen, Xiaohong
1
Cipollini, Fabrizio
1
Conrad, Christian
1
De Lira Salvatierra, Irving Arturo
1
Ding, Zhuanxin
1
Fan, Yanqin
1
Gallo, Giampiero M.
1
Gonçalves, Sílvia
1
Granger, C. W. J.
1
Hassler, Uwe
1
Hounyo, Ulrich
1
Kelly, Bryan T.
1
Oh, Dong Hwan
1
Pakel, Cavit
1
Quaedvlieg, Rogier
1
Rangel, Jose G.
1
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Rodney L. White Center for Financial Research
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1
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Discussion paper / Department of Economics, University of California San Diego
11
Working paper series / University of Zurich, Department of Economics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
The review of financial studies
3
Working paper / National Bureau of Economic Research, Inc.
3
Working papers
3
Journal of econometrics
2
Advanced texts in econometrics
1
CEA_372Cass working paper series
1
Department of Economics discussion paper series / University of Oxford
1
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1
Econometrics : open access journal
1
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1
Finance and economics discussion series
1
Forecasting volatility in the financial markets
1
Harvard Business School Finance Working Paper
1
IAM paper
1
Jingji-lunwen
1
Journal of applied econometrics
1
Journal of banking & finance
1
Journal of economic literature
1
Journal of empirical finance
1
Journal of risk
1
Research paper series / Swiss Finance Institute
1
Review of Financial Studies, 2008
1
The American economic review
1
The definitive guide to CDOs : market, application, valuation and hedging
1
The econometrics institute lectures
1
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1
Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik
1
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1
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1
Working paper series economics and econometrics
1
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1
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ECONIS (ZBW)
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1
What good is a volatility model?
Engle, Robert F.
;
Patton, Andrew J.
- In:
Forecasting volatility in the financial markets
,
(pp. 47-63)
.
2007
Persistent link: https://www.econbiz.de/10003872831
Saved in:
2
Zeitabhängige Volatilität und instationäre Zeitreihen : zum Nobelpreis an Robert F. Engle und Clive W. J. Granger
Hassler, Uwe
- In:
Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik
83
(
2003
)
12
,
pp. 811-816
Persistent link: https://www.econbiz.de/10001858207
Saved in:
3
Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim
(
ed.
);
Engle, Robert F.
(
honouree
); …
-
2010
-
1. publ.
Persistent link: https://www.econbiz.de/10003861657
Saved in:
4
The Nobel memorial prize for Robert Engle
Diebold, Francis X.
(
contributor
);
Engle, Robert F.
(
honouree
)
-
2004
Persistent link: https://www.econbiz.de/10003229527
Saved in:
5
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
- In:
Journal of empirical finance
30
(
2015
),
pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
Saved in:
6
Simple tests for models of dependence between multiple financial time series, with applications to US equity returns and exchange rates
Patton, Andrew J.
;
Chen, Xiaohong
;
Fan, Yanqin
-
2004
Persistent link: https://www.econbiz.de/10002034254
Saved in:
7
Volatillity forecast comparison using imperfect volatility proxies
Patton, Andrew J.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
Saved in:
8
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
9
Better the devil you know : improved forecasts from imperfect models
Oh, Dong Hwan
;
Patton, Andrew J.
-
2021
-
This draft: October 2021
Persistent link: https://www.econbiz.de/10012704988
Saved in:
10
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
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