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Copula-Based Models for Financ...
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Volatilität
Forecasting model
51
Prognoseverfahren
51
Theorie
49
Theory
49
Time series analysis
32
Zeitreihenanalyse
32
Volatility
28
Multivariate Verteilung
17
Multivariate distribution
17
Capital income
16
Hedge fund
16
Hedgefonds
16
Kapitaleinkommen
16
Estimation
14
Schätzung
14
Correlation
13
Forecasting
12
Portfolio selection
12
Portfolio-Management
12
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12
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12
Korrelation
11
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10
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10
Financial market
10
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10
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9
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9
Estimation theory
8
Risikomaß
8
Risk measure
8
Schätztheorie
8
Welt
8
World
8
Analysis of variance
7
Börsenkurs
7
Share price
7
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7
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English
28
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Patton, Andrew J.
28
Bollerslev, Tim
9
Quaedvlieg, Rogier
8
Sheppard, Kevin
5
De Lira Salvatierra, Irving Arturo
2
Medeiros, Marcelo C.
2
Zhang, Haozhe
2
De Lira Salvatierra, Irving
1
Engle, Robert F.
1
Kearney, Colm
1
Li, Jia
1
Liu, Lily Y.
1
Oh, Dong Hwan
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Journal of econometrics
7
ERID working paper
2
Handbook of financial time series
2
CREATES research paper
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economics letters
1
Finance and economics discussion series
1
Forecasting volatility in the financial markets
1
Handbook of economic forecasting ; Volume 2B
1
International journal of forecasting
1
Journal of empirical finance
1
Journal of financial economics
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
The review of economics and statistics
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Copula-based models for financial time series
Patton, Andrew J.
- In:
Handbook of financial time series
,
(pp. 767-785)
.
2009
Persistent link: https://www.econbiz.de/10003834225
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2
Data-based ranking of realised volatility estimators
Patton, Andrew J.
- In:
Journal of econometrics
161
(
2011
)
2
,
pp. 284-303
Persistent link: https://www.econbiz.de/10009242129
Saved in:
3
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
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4
Volatility forecast comparison using imperfect volatility proxies
Patton, Andrew J.
-
2006
Persistent link: https://www.econbiz.de/10003329784
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5
Evaluating volatility and correlation forecasts
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Handbook of financial time series
,
(pp. 801-838)
.
2009
Persistent link: https://www.econbiz.de/10003834236
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6
Optimal combinations of realised volatility estimators
Patton, Andrew J.
;
Sheppard, Kevin
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 218-238
Persistent link: https://www.econbiz.de/10003870045
Saved in:
7
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:
8
Good volatility, bad volatility : signed jumps and the persistence of volatility
Patton, Andrew J.
;
Sheppard, Kevin
- In:
The review of economics and statistics
97
(
2015
)
3
,
pp. 683-697
Persistent link: https://www.econbiz.de/10011333073
Saved in:
9
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
-
2013
Persistent link: https://www.econbiz.de/10010231950
Saved in:
10
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
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