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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"International journal of forecasting"
~person:"Bagnato, Luca"
~person:"Kumar, Dilip"
~person:"Patton, Andrew J."
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Volatilität
Estimation theory
3
Forecasting model
3
Prognoseverfahren
3
Schätztheorie
3
Volatility
3
ARCH model
1
ARCH-Modell
1
Analysis of variance
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Capital income
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Correlation
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Covariance forecasting
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Dynamic dependencies
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Estimation errors
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GARCH models
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Kapitaleinkommen
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Korrelation
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Kurtosis
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Orthogonal polynomials
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Realized covariance
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Score-driven models
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Skewness
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Statistical distribution
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Corsi, Fulvio
Bagnato, Luca
Kumar, Dilip
Patton, Andrew J.
Clements, Adam
2
Bauwens, Luc
1
Becker, Ralf
1
Buccheri, Giuseppe
1
Cipollini, Fabrizio
1
Demetrescu, Matei
1
Doolan, M. B.
1
Drovandi, Christopher
1
Gallo, Giampiero M.
1
Gefang, Deborah
1
Golosnoy, Vasyl
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
Meng, Xiaochun
1
Otranto, Edoardo
1
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1
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1
Sucarrat, Genaro
1
Taylor, James W.
1
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1
Vacca, Gianmarco
1
Vassallo, Danilo
1
Woźniak, Tomasz
1
Xu, Yongdeng
1
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1
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International journal of forecasting
Economic modelling
4
IIMB management review
2
International review of economics & finance : IREF
2
Journal of econometrics
2
The journal of prediction markets
2
Theoretical economics letters
2
Decision
1
Global COE Hi-Stat discussion paper series
1
International review of financial analysis
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of quantitative economics
1
Macroeconomics and finance in emerging market economies
1
Quaderni del Dipartimento di economia politica e statistica
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Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
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Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco
;
Zoia, Maria Grazia
;
Bagnato, Luca
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
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2
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
3
Optimal combinations of realised volatility estimators
Patton, Andrew J.
;
Sheppard, Kevin
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 218-238
Persistent link: https://www.econbiz.de/10003870045
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