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subject:"Volatility"
subject:"Stochastic process"
~person:"Bauwens, Luc"
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Volatility
Stochastic process
Estimation theory
41
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Bauwens, Luc
Koopman, Siem Jan
23
Phillips, Peter C. B.
23
Todorov, Viktor
19
Li, Jia
17
Kumar, Dilip
16
Li, Yingying
15
Tauchen, George Eugene
15
Teräsvirta, Timo
15
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14
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13
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12
Hafner, Christian M.
12
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12
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12
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12
Ghysels, Eric
11
Härdle, Wolfgang
11
Lucas, André
11
Reiß, Markus
11
Spokojnyj, Vladimir G.
11
Swanson, Norman R.
11
Andersen, Torben
10
Mancino, Maria Elvira
10
Silvennoinen, Annastiina
10
Christopeit, Norbert
9
Fan, Jianqing
9
Linton, Oliver
9
Liu, Zhi
9
Mykland, Per A.
9
Zakoïan, Jean-Michel
9
Alizadeh, Sassan
8
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8
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8
Francq, Christian
8
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8
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8
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CORE discussion papers : DP
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
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:
2
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
3
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
4
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
5
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
6
Efficient importance sampling for ML estimation of SCD models
Bauwens, Luc
(
contributor
);
Galli, Fausto
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003526529
Saved in:
7
Efficient importance sampling for ML estimation of SCD models
Bauwens, Luc
(
contributor
);
Galli, Fausto
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003538748
Saved in:
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