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isPartOf:"MPRA Paper"
~isPartOf:"International journal of forecasting"
~subject:"Risikomaß"
~subject:"Stochastic volatility"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Risikomaß
Stochastic volatility
Stochastischer Prozess
Volatility
233
Volatilität
145
Forecasting model
123
Prognoseverfahren
123
volatility
83
Theorie
76
Theory
76
ARCH model
65
ARCH-Modell
64
Time series analysis
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Capital income
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Estimation
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Schätzung
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GARCH
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Realized volatility
22
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Volatility forecasting
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Risk measure
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Forecasting
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Forecast
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Estimation theory
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Schätztheorie
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Markov-Kette
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Statistische Verteilung
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Chan, Joshua
2
Cross, Jamie
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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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MPRA Paper
International journal of forecasting
International journal of theoretical and applied finance
136
Journal of econometrics
113
Quantitative finance
96
Finance research letters
74
Energy economics
69
Discussion paper / Tinbergen Institute
67
Applied mathematical finance
64
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
The North American journal of economics and finance : a journal of financial economics studies
57
Computational economics
56
Journal of banking & finance
56
Journal of economic dynamics & control
52
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
The journal of computational finance
50
Finance and stochastics
47
Working paper
47
Econometric reviews
45
Journal of empirical finance
45
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43
European journal of operational research : EJOR
42
Economic modelling
39
International journal of financial engineering
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
37
Risks : open access journal
37
Insurance / Mathematics & economics
36
Journal of risk and financial management : JRFM
36
The journal of futures markets
35
International review of financial analysis
34
Annals of finance
33
Applied economics
32
Research paper series / Swiss Finance Institute
32
Economics letters
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
CAMA working paper series
26
Review of derivatives research
26
International review of economics & finance : IREF
25
Econometric Institute research papers
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The European journal of finance
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CREATES research paper
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1
Should I open to forecast? : implications from a multi-country unobserved components model with sparse factor stochastic volatility
Wu, Ping
- In:
International journal of forecasting
40
(
2024
)
3
,
pp. 903-917
Persistent link: https://www.econbiz.de/10014547224
Saved in:
2
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
3
Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan
;
Schröder, Maximilian
- In:
International journal of forecasting
39
(
2023
)
3
,
pp. 1460-1476
Persistent link: https://www.econbiz.de/10014465295
Saved in:
4
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
5
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
6
Variational Bayes approximation of factor stochastic volatility models
Gunawan, David
;
Kohn, Robert
;
Nott, David
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1355-1375
Persistent link: https://www.econbiz.de/10013274279
Saved in:
7
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
8
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
Saved in:
9
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
10
Minnesota-type adaptive hierarchical priors for large Bayesian VARs
Chan, Joshua
- In:
International journal of forecasting
37
(
2021
)
3
,
pp. 1212-1226
Persistent link: https://www.econbiz.de/10012794844
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