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subject:"Volatilität"
~isPartOf:"Working paper"
~person:"Blazsek, Szabolcs"
~subject:"Oil price"
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Volatilität
Oil price
Time series analysis
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Volatility
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Aktienindex
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1950-2017
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Global Crude Oil Market
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Markov Regime-Switching Models
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Blazsek, Szabolcs
McAleer, Michael
40
Neely, Christopher J.
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Chang, Chia-Lin
14
Mumtaz, Haroon
14
Manera, Matteo
11
Guo, Hui
9
Raunig, Burkhard
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Christiansen, Charlotte
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Nguyen, Hoang
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Kapetanios, George
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Roengchai Tansuchat
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Skiadopoulos, George
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Theodoridis, Konstantinos
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Allen, David E.
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Asai, Manabu
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Chen, Chi-chung
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Escribano, Álvaro
4
Hammoudeh, Shawkat
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Karlsson, Sune
4
Laurent, Sébastien
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Mignon, Valérie
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Savickas, Robert
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Wen, Yi
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Österholm, Pär
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Baker, Scott
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Bastianin, Andrea
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Behmiri, Niaz Bashiri
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Bloom, Nicholas
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Caporin, Massimiliano
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Davis, Steven J.
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Erdemlioglu, Deniz
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Héricourt, Jérôme
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Medeiros, Marcelo C.
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Piger, Jeremy Max
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Working paper
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012221928
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2
Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
-
2020
Persistent link: https://www.econbiz.de/10012310604
Saved in:
3
Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index
Ayala, Astrid
;
Blazsek, Szabolcs
;
Escribano, Álvaro
-
2019
Persistent link: https://www.econbiz.de/10012100546
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