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isPartOf:"MPRA Paper"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Volatility"
~subject:"exchange rate"
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Volatility
exchange rate
Volatilität
150
volatility
83
Theorie
72
Theory
72
Estimation
61
Schätzung
61
Time series analysis
55
Zeitreihenanalyse
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Caiado, Jorge
5
Crato, Nuno
5
Masih, Mansur
5
Onour, Ibrahim
5
Sinha, Pankaj
5
Li, Wai Keung
4
Camilleri, Silvio John
3
Chan, Joshua
3
Corsi, Fulvio
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Dumitriu, Ramona
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Ghiba, Nicolae
3
Koopman, Siem Jan
3
Lucas, André
3
Mapa, Dennis S.
3
Moffitt, Robert A.
3
Stefanescu, Razvan
3
Tauchen, George Eugene
3
Todorov, Viktor
3
Abowd, John M.
2
Antonakakis, Nikolaos
2
Asutay, Mehmet
2
Bacha, Obiyathulla
2
Bauwens, Luc
2
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2
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2
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2
Casarin, Roberto
2
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2
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2
Creal, Drew
2
Fan, Jianqing
2
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2
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2
Hautsch, Nikolaus
2
Jing, Bingyi
2
Li, Jia
2
Maheu, John M.
2
Marcellino, Massimiliano
2
McKinney, Kevin L.
2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
94
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MPRA Paper
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Energy economics
598
Finance research letters
514
NBER working paper series
482
Working paper / National Bureau of Economic Research, Inc.
466
NBER Working Paper
416
International review of financial analysis
398
Applied economics
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375
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338
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235
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198
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197
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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157
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140
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137
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131
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125
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118
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ECONIS (ZBW)
150
RePEc
94
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1
Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are
;
Cross, Jamie
;
Dijk, Herman K. van
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 523-537
Persistent link: https://www.econbiz.de/10014448307
Saved in:
2
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
3
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
Saved in:
4
Realized quantiles
Dimitriadis, Timo
;
Halbleib, Roxana
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
3
,
pp. 1346-1361
Persistent link: https://www.econbiz.de/10013539526
Saved in:
5
A statistical recurrent stochastic volatility model for stock markets
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Gunawan, David
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 414-428
Persistent link: https://www.econbiz.de/10014448201
Saved in:
6
Locally stationary multiplicative volatility modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
7
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
8
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
9
Estimation of leverage effect : kernel function and efficiency
Yang, Xiye
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
Saved in:
10
Can a machine correct option pricing models?
Almeida, Caio
;
Fan, Jianqing
;
Freire, Gustavo
;
Tang, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 995-1009
Persistent link: https://www.econbiz.de/10014448492
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