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person:"Croux, Christophe"
subject:"Volatility"
~person:"Kumar, Dilip"
~subject:"Bias"
~subject:"Zeitreihenanalyse"
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Volatility
Bias
Zeitreihenanalyse
Estimation theory
82
Schätztheorie
82
Robust statistics
37
Robustes Verfahren
37
Regression analysis
24
Regressionsanalyse
24
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English
35
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Croux, Christophe
Kumar, Dilip
Phillips, Peter C. B.
116
Gao, Jiti
73
Koopman, Siem Jan
59
Franses, Philip Hans
43
Johansen, Søren
43
Teräsvirta, Timo
43
Lütkepohl, Helmut
41
Nielsen, Morten Ørregaard
40
Swanson, Norman R.
38
Linton, Oliver
36
Kapetanios, George
32
Nelson, Daniel B.
32
Harvey, Andrew C.
31
Sibbertsen, Philipp
30
Koop, Gary
29
Engle, Robert F.
28
Pesaran, M. Hashem
28
Lucas, André
27
Stock, James H.
27
Gouriéroux, Christian
26
Diebold, Francis X.
25
Härdle, Wolfgang
25
Taylor, Robert
25
Watson, Mark W.
25
Li, Degui
24
Maravall Herrero, Agustín
24
Perron, Pierre
24
Cavaliere, Giuseppe
23
Chambers, Marcus J.
23
Nielsen, Bent
23
Robinson, Peter M.
23
Ghysels, Eric
22
Haldrup, Niels
22
Leybourne, Stephen James
22
McAleer, Michael
22
Peng, Bin
22
Weidner, Martin
22
Bauwens, Luc
21
Brännäs, Kurt
21
Dong, Chaohua
21
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KBI
9
Economic modelling
4
IIMB management review
2
International review of economics & finance : IREF
2
The journal of prediction markets
2
Theoretical economics letters
2
Decision
1
Discussion paper / Tinbergen Institute
1
International journal of forecasting
1
International review of financial analysis
1
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Macroeconomics and finance in emerging market economies
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Metrika : international journal for theoretical and applied statistics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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35
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1
Robust estimation of linear state space models
Crevits, Ruben
;
Croux, Christophe
-
2017
Persistent link: https://www.econbiz.de/10011799036
Saved in:
2
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
3
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
4
An algorithm for the multivariate group lasso with covariance estimation
Wilms, I.
;
Croux, Christophe
-
2015
Persistent link: https://www.econbiz.de/10011658494
Saved in:
5
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
6
Detecting time variation in the price puzzle : an improved prior choice for time varying parameter VAR models
Reusens, Peter
;
Croux, Christophe
-
2014
Persistent link: https://www.econbiz.de/10010485677
Saved in:
7
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
8
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
9
Linearly transforming variables in the VAR model, how does it change the impulse response?
Reusens, Peter
;
Croux, Christophe
- In:
Journal of econometric methods
7
(
2018
)
1
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011945885
Saved in:
10
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
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