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institution:"Federal Reserve Bank of St. Louis"
subject:"Volatility"
~institution:"Centre for Analytical Finance <Århus>"
~institution:"Centre for Quantitative Economics & Computing"
~subject:"VAR-Modell"
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Volatility
VAR-Modell
Estimation
45
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45
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24
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15
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15
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9
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9
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6
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1952-2002
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Brooks, Chris
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1
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1
Francis, Neville
1
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1
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1
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1
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Federal Reserve Bank of St. Louis
Centre for Analytical Finance <Århus>
Centre for Quantitative Economics & Computing
National Bureau of Economic Research
95
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
19
Institut für Weltwirtschaft
8
University of Canterbury / Dept. of Economics and Finance
6
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5
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3
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3
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Federal Reserve Bank of Cleveland
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Internationaler Währungsfonds / Research Department
2
National Institute of Economic and Social Research
2
Rodney L. White Center for Financial Research
2
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
2
Springer Fachmedien Wiesbaden
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Suntory-Toyota International Centre for Economics and Related Disciplines
2
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ECONIS (ZBW)
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The use of long-run restrictions for the identification of technology shocks
Francis, Neville
(
contributor
); …
-
2003
-
[Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001979869
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2
Implied volatility from options on gold futures : do statistical forecasts add value or simply paint the lilly?
Neely, Christopher J.
(
contributor
)
-
2003
-
[Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001982800
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3
Testing the expectations hypothesis : some new evidence
Dittmar, Robert F.
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001982897
Saved in:
4
Idiosyncratic volatility, stock market volatility, and expected stock returns
Guo, Hui
(
contributor
);
Savickas, Robert
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001985899
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5
A common model approach to macroeconomics : using panel data reduce sampling error
Gavin, William T.
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001986936
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6
Modeling volcker as a non-absorbing state : agnostic identification of a markov-switching VAR
Owyang, Michael T.
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001974169
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7
Estimation of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
8
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
9
Forecasting exchange rate volatility using conditional variance models selected by information criteria
Brooks, Chris
-
1998
Persistent link: https://www.econbiz.de/10000982695
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10
Linear and nonlinear (non-)forecastability of high frequency exchange rates
Brooks, Chris
-
1996
Persistent link: https://www.econbiz.de/10000944084
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