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isPartOf:"MPRA Paper"
~isPartOf:"International journal of forecasting"
~subject:"Schätztheorie"
~subject:"Stochastic volatility"
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Search: subject_exact:"Volatility"
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Schätztheorie
Stochastic volatility
Volatility
228
Volatilität
140
Forecasting model
118
Prognoseverfahren
118
volatility
83
Theorie
73
Theory
73
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Chan, Joshua
2
Clements, Adam
2
Cross, Jamie
2
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1
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MPRA Paper
International journal of forecasting
Journal of econometrics
136
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
Quantitative finance
41
Discussion paper / Tinbergen Institute
36
Economics letters
35
International journal of theoretical and applied finance
29
Economic modelling
27
Journal of banking & finance
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Econometric reviews
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Finance research letters
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Journal of economic dynamics & control
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Journal of empirical finance
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The North American journal of economics and finance : a journal of financial economics studies
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of risk and financial management : JRFM
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Asia-Pacific financial markets
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International review of financial analysis
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Journal of financial economics
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Journal of forecasting
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Decisions in economics and finance : DEF ; a journal of applied mathematics
9
Econometrics : open access journal
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Review of derivatives research
9
SFB 649 discussion paper
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Empirical economics : a quarterly journal of the Institute for Advanced Studies
8
International journal of economics and financial issues : IJEFI
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ECONIS (ZBW)
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
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:
3
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
4
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:
5
Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco
;
Zoia, Maria Grazia
;
Bagnato, Luca
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
Saved in:
6
Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
Saved in:
7
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
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
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:
10
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
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