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isPartOf:"MPRA Paper"
~isPartOf:"International journal of forecasting"
~subject:"Risikomaß"
~subject:"Stochastic volatility"
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Search: subject_exact:"Volatility"
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Risikomaß
Stochastic volatility
Volatility
228
Volatilität
140
Forecasting model
118
Prognoseverfahren
118
volatility
83
Theorie
73
Theory
73
ARCH model
62
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Chan, Joshua
2
Cross, Jamie
2
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2
Poon, Aubrey
2
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1
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1
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1
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1
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1
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MPRA Paper
International journal of forecasting
Energy economics
50
Journal of econometrics
42
Finance research letters
41
The North American journal of economics and finance : a journal of financial economics studies
40
Journal of banking & finance
34
Quantitative finance
33
Economic modelling
29
International review of financial analysis
25
Journal of economic dynamics & control
25
Working paper
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International journal of theoretical and applied finance
22
Journal of empirical finance
21
Computational economics
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Discussion paper / Tinbergen Institute
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International review of economics & finance : IREF
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics
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Economics letters
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European journal of operational research : EJOR
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The journal of risk model validation
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Annals of finance
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Pacific-Basin finance journal
9
Review of derivatives research
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of financial economics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Asia-Pacific financial markets
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
27
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1
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
2
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
3
Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan
;
Schröder, Maximilian
- In:
International journal of forecasting
39
(
2023
)
3
,
pp. 1460-1476
Persistent link: https://www.econbiz.de/10014465295
Saved in:
4
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
5
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
6
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
Saved in:
7
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:
8
Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1212-1226
Persistent link: https://www.econbiz.de/10012794844
Saved in:
9
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
Saved in:
10
Stochastic volatility models with ARMA innovations : an application to G7 inflation forecasts
Zhang, Bo
;
Chan, Joshua
;
Cross, Jamie
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1318-1328
Persistent link: https://www.econbiz.de/10012546706
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