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isPartOf:"MPRA Paper"
~isPartOf:"International journal of forecasting"
~subject:"Stochastic volatility"
~subject:"Theorie"
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Search: subject_exact:"Volatility"
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Stochastic volatility
Theorie
Volatility
233
Volatilität
145
Forecasting model
123
Prognoseverfahren
123
volatility
83
Theory
76
ARCH model
65
ARCH-Modell
64
Time series analysis
60
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60
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50
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47
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18
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Estimation theory
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78
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Arroyo, Javier
2
Chan, Joshua
2
Cross, Jamie
2
Demetrescu, Matei
2
Gerlach, Richard
2
González-Rivera, Gloria
2
Lucas, André
2
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2
Poon, Aubrey
2
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2
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2
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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
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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
NBER working paper series
173
Working paper / National Bureau of Economic Research, Inc.
161
NBER Working Paper
155
Journal of econometrics
148
Journal of banking & finance
118
Finance research letters
110
Economics letters
92
Economic modelling
85
Discussion paper / Tinbergen Institute
84
Journal of economic dynamics & control
84
International journal of theoretical and applied finance
83
Journal of empirical finance
83
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
79
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78
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Journal of financial economics
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Energy economics
72
Mathematical finance : an international journal of mathematics, statistics and financial theory
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International review of financial analysis
68
Journal of international money and finance
67
International review of economics & finance : IREF
61
The European journal of finance
59
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58
The review of financial studies
58
The North American journal of economics and finance : a journal of financial economics studies
56
Computational economics
55
Journal of forecasting
55
Econometric reviews
53
Finance and stochastics
49
Applied mathematical finance
48
Applied economics letters
46
Journal of financial econometrics : official journal of the Society for Financial Econometrics
45
Research paper series / Swiss Finance Institute
45
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
The journal of finance : the journal of the American Finance Association
43
The journal of futures markets
41
Journal of monetary economics
40
CREATES research paper
39
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ECONIS (ZBW)
78
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1
(Structural) VAR models with ignored changes in mean and volatility
Demetrescu, Matei
;
Salish, Nazarii
- In:
International journal of forecasting
40
(
2024
)
2
,
pp. 840-854
Persistent link: https://www.econbiz.de/10014547211
Saved in:
2
A False Discovery Rate approach to optimal volatility forecasting model selection
Hassanniakalager, Arman
;
Baker, Paul L.
;
Platanakis, …
- In:
International journal of forecasting
40
(
2024
)
3
,
pp. 881-902
Persistent link: https://www.econbiz.de/10014547223
Saved in:
3
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:
4
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:
5
Time-varying variance and skewness in realized volatility measures
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 827-840
Persistent link: https://www.econbiz.de/10014465151
Saved in:
6
Improving variance forecasts : the role of Realized Variance features
Papantonis, Ioannis
;
Rompolis, Leonidas
;
Tzavalis, Elias
- In:
International journal of forecasting
39
(
2023
)
3
,
pp. 1221-1237
Persistent link: https://www.econbiz.de/10014465267
Saved in:
7
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:
8
Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina
;
Lux, Thomas
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1678-1697
Persistent link: https://www.econbiz.de/10014465344
Saved in:
9
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:
10
Projected Dynamic Conditional Correlations
Llorens-Terrazas, Jordi
;
Brownlees, Christian
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1761-1776
Persistent link: https://www.econbiz.de/10014465352
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