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Forecasting volatility and tai...
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Share price
Prognoseverfahren
41,457
Volatility
41,108
Volatilität
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Exchange rate
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Risk
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5,596
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5,208
Stochastischer Prozess
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4,675
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Gupta, Rangan
124
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64
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61
McMillan, David G.
53
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50
Ma, Feng
49
Narayan, Paresh Kumar
42
Bollerslev, Tim
38
Bouri, Elie
38
Hautsch, Nikolaus
34
Salisu, Afees A.
34
Zaremba, Adam
34
Bloom, Nicholas
33
Wohar, Mark E.
33
Spagnolo, Nicola
32
Bekaert, Geert
31
Lux, Thomas
31
Ryu, Doojin
30
Allen, David E.
26
Ang, Andrew
26
Demirer, Rıza
26
Timmermann, Allan
26
Chiang, Thomas C.
25
Corbet, Shaen
25
Zhang, Yaojie
25
Balcilar, Mehmet
24
Hammoudeh, Shawkat
24
Härdle, Wolfgang
24
Lettau, Martin
24
Bansal, Ravi
23
Todorov, Viktor
23
Andersen, Torben
22
Campbell, John Y.
22
Molnár, Peter
22
Bali, Turan G.
21
Wang, Yudong
21
Weber, Michael
21
Cakici, Nusret
20
Christiansen, Charlotte
20
Davis, Steven J.
20
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National Bureau of Economic Research
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Birkbeck College / Department of Economics
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Federal Reserve System / Division of Research and Statistics
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Center for Economic Research <Tilburg>
3
Christian-Albrechts-Universität zu Kiel
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Gottfried Wilhelm Leibniz Universität Hannover
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Institut für Weltwirtschaft
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Kansantaloustieteen Laitos <Tampere>
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Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
3
University of Canterbury / Dept. of Economics and Finance
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Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Ekonomiska forskningsinstitutet <Stockholm>
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Erasmus Research Institute of Management
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Federal Reserve Bank of New York
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Federal Reserve Bank of St. Louis
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Internationaler Währungsfonds / Research Department
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School of Finance and Business Economics <Perth, Western Australia>
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Svenska Handelshögskolan <Helsinki>
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University of Exeter / Department of Economics
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Australian National University / Faculty of Economics and Commerce
1
Brown University / Department of Economics
1
Centre for Analytical Finance <Århus>
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Centre for Economic Policy Research
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Centre for Growth and Business Cycle Research <Manchester>
1
Conference on Financial Stability <1993, Sydney>
1
European University Institute / Department of Economics
1
Federal Reserve Bank of Cleveland
1
Federal Reserve Bank of San Francisco
1
Federal Reserve System / Board of Governors
1
Financial Options Research Centre
1
Goethe-Universität Frankfurt am Main
1
Goethe-Universität Frankfurt am Main / Fachbereich Wirtschaftswissenschaften
1
Institut für Industriebetriebsforschung <Hamburg>
1
Institute of European Finance <Bangor, Gwynedd>
1
International Workshop Empirical Science of Financial Fluctuations <2000, Tōkyō, Tokio>
1
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Finance research letters
284
International review of financial analysis
186
Energy economics
155
NBER working paper series
149
International review of economics & finance : IREF
148
Journal of banking & finance
142
The North American journal of economics and finance : a journal of financial economics studies
139
Applied economics
133
Journal of empirical finance
131
Working paper / National Bureau of Economic Research, Inc.
131
Research in international business and finance
122
Economic modelling
112
Journal of financial economics
111
Applied economics letters
106
NBER Working Paper
105
Journal of international financial markets, institutions & money
102
Pacific-Basin finance journal
94
Journal of risk and financial management : JRFM
88
Journal of econometrics
83
The journal of futures markets
82
Applied financial economics
79
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
71
International Journal of Energy Economics and Policy : IJEEP
67
The European journal of finance
65
Journal of forecasting
64
Economics letters
62
Review of quantitative finance and accounting
58
Working paper
58
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
57
Journal of financial markets
56
Discussion paper / Centre for Economic Policy Research
53
Finance India : the quarterly journal of Indian Institute of Finance
52
The review of financial studies
52
Cogent economics & finance
51
The journal of finance : the journal of the American Finance Association
51
CESifo working papers
50
International journal of finance & economics : IJFE
50
Journal of financial and quantitative analysis : JFQA
50
Quantitative finance
49
International journal of economics and financial issues : IJEFI
48
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ECONIS (ZBW)
12,243
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1
Forecasting Chinese stock market
volatility
with option-implied risk aversion : evidence from extended realized EGARCH-MIDAS approach
Wu, Xinyu
;
Qian, Jia
;
Zhao, Xiaohan
- In:
Pacific-Basin finance journal
83
(
2024
),
pp. 1-23
Persistent link: https://www.econbiz.de/10014491122
Saved in:
2
International stock market
volatility
: a global tail risk sight
Lu, Xinjie
;
Zeng, Qing
;
Zhong, Juandan
;
Zhu, Bo
- In:
Journal of international financial markets, …
91
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014494749
Saved in:
3
GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Economics letters
123
(
2014
)
2
,
pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
Saved in:
4
Modelling and forecasting stock
volatility
and return : a new approach based on quantile Rogers-Satchell
volatility
measure with asymmetric bilinear CARR model
Tan, Shay Kee
;
Chan, Jennifer So Kuen
;
Kok Haur Ng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
Saved in:
5
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
6
GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart
-
2013
Persistent link: https://www.econbiz.de/10010191413
Saved in:
7
How informative are variance risk premium and implied
volatility
for Value-at-Risk prediction? : international evidence
Slim, Skander
;
Dahmene, Meriam
;
Boughrara, Adel
- In:
The quarterly review of economics and finance : journal …
76
(
2020
),
pp. 22-37
Persistent link: https://www.econbiz.de/10012417081
Saved in:
8
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
9
Investigation of forecasted risk interrelationship : base on GARCH model, causality in China markets
Lin, Shu-shian
- In:
Journal of business economics and management
15
(
2014
)
5
,
pp. 853-861
Persistent link: https://www.econbiz.de/10010483694
Saved in:
10
Tail risk and long memory in financial markets
Nguyen, Duc Binh Benno
-
2018
Persistent link: https://www.econbiz.de/10012173996
Saved in:
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