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~isPartOf:"Econometric reviews"
~subject:"Prognoseverfahren"
~subject:"Stochastic process"
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Search: subject_exact:"Volatility"
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Prognoseverfahren
Stochastic process
Volatility
89
Volatilität
89
Theorie
51
Theory
51
Stochastischer Prozess
44
Time series analysis
33
Zeitreihenanalyse
33
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27
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McAleer, Michael
8
Asai, Manabu
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Chan, Joshua
2
Gouriéroux, Christian
2
Jawadi, Fredj
2
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2
Maasoumi, Esfandiar
2
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2
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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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1
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1
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1
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1
Bu, Ruijun
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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1
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1
Gu, Wentao
1
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1
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1
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Econometric reviews
International journal of theoretical and applied finance
139
Journal of econometrics
138
Energy economics
131
Finance research letters
125
International journal of forecasting
120
Journal of forecasting
115
Quantitative finance
108
Journal of banking & finance
82
Discussion paper / Tinbergen Institute
79
The North American journal of economics and finance : a journal of financial economics studies
79
International review of financial analysis
77
Journal of empirical finance
77
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International review of economics & finance : IREF
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Journal of economic dynamics & control
58
Mathematical finance : an international journal of mathematics, statistics and financial theory
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The journal of computational finance
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Economics letters
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
48
Finance and stochastics
47
European journal of operational research : EJOR
45
Applied economics letters
44
Journal of risk and financial management : JRFM
43
The European journal of finance
43
Journal of mathematical finance
42
Applied financial economics
41
Risks : open access journal
41
Journal of financial economics
38
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
38
CREATES research paper
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Journal of financial econometrics
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ECONIS (ZBW)
56
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1
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
2
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
3
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
4
Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models
He, Yanan
;
Han, Ai
;
Hong, Yongmiao
;
Sun, Yuying
;
Wang, …
- In:
Econometric reviews
40
(
2021
)
6
,
pp. 584-606
Persistent link: https://www.econbiz.de/10012624525
Saved in:
5
The continuous limit of weak GARCH
Alexander, Carol
;
Lazar, Emese
- In:
Econometric reviews
40
(
2021
)
2
,
pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
Saved in:
6
Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
7
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
8
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
9
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
10
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
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