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Volatility
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McAleer, Michael
98
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87
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61
Koopman, Siem Jan
54
Chiarella, Carl
52
Gupta, Rangan
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Asai, Manabu
47
Todorov, Viktor
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Härdle, Wolfgang
44
Lux, Thomas
44
Caporin, Massimiliano
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Christoffersen, Peter F.
37
Chan, Joshua
34
Cui, Zhenyu
34
Aizenman, Joshua
33
Hafner, Christian M.
33
Pierdzioch, Christian
32
Bekaert, Geert
30
Platen, Eckhard
30
Clark, Todd E.
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Herwartz, Helmut
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Tauchen, George Eugene
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Fernández-Villaverde, Jesús
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Lucas, André
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Mumtaz, Haroon
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Aït-Sahalia, Yacine
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Yu, Jun
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Andersen, Torben G.
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Barndorff-Nielsen, Ole E.
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Shephard, Neil G.
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25
Escobar, Marcos
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Fouque, Jean-Pierre
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Ghysels, Eric
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Hautsch, Nikolaus
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Meddahi, Nour
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Renò, Roberto
25
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Svenska Handelshögskolan <Helsinki>
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Chambre de commerce et d'industrie de Paris
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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World Bank
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International Center for Financial Asset Management and Engineering
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Journal of econometrics
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International journal of theoretical and applied finance
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NBER working paper series
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Journal of banking & finance
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Finance research letters
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Journal of economic dynamics & control
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Applied mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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International journal of forecasting
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Journal of financial economics
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The North American journal of economics and finance : a journal of financial economics studies
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Computational economics
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International review of financial analysis
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Applied economics
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Discussion paper / Centre for Economic Policy Research
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International review of economics & finance : IREF
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The European journal of finance
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The journal of futures markets
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Econometric reviews
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Journal of international money and finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Finance and stochastics
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Research paper series / Swiss Finance Institute
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The journal of computational finance
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Journal of forecasting
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Applied economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The review of financial studies
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Journal of risk and financial management : JRFM
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European journal of operational research : EJOR
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ECONIS (ZBW)
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EconStor
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RePEc
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ArchiDok
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1
Discrete stochastic autoregressive volatility
Cordis, Adriana S.
;
Kirby, Chris
- In:
Journal of banking & finance
43
(
2014
),
pp. 160-178
Persistent link: https://www.econbiz.de/10010410013
Saved in:
2
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
3
Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman
;
Taṣpınar, Süleyman
;
Bera, Anil K.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
5
,
pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
Saved in:
4
Flexible modeling of dependence in volatility processes
Kalli, Maria
;
Griffin, Jim
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
Saved in:
5
Stochastic volatility model with regime-switching skewness in heavy-tailed errors for exchange rate returns
Nakajima, Jouchi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
5
,
pp. 499-520
Persistent link: https://www.econbiz.de/10010228561
Saved in:
6
Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian
-
2013
Persistent link: https://www.econbiz.de/10010243571
Saved in:
7
Bayesian estimation of non-Gaussian stochastic volatility models
Elabed, Asma Graja
;
Masmoudi, Afif
- In:
Journal of mathematical finance
4
(
2014
)
2
,
pp. 95-103
Persistent link: https://www.econbiz.de/10010380909
Saved in:
8
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
9
High-dimensional DSGE models : pointers on prior, estimation, comparison, and prediction
Chib, Siddhartha
;
Shin, Minchul
;
Tan, Fei
-
2020
Persistent link: https://www.econbiz.de/10012373015
Saved in:
10
Incorporating realized quarticity into a realized stochastic volatility model
Nugroho, Didit B.
;
Morimoto, Takayuki
- In:
Asia-Pacific financial markets
26
(
2019
)
4
,
pp. 495-528
Persistent link: https://www.econbiz.de/10012309817
Saved in:
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