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person:"Rombouts, Jeroen V. K."
~subject:"2006"
~subject:"Risikomaß"
~subject:"Schätzung"
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Search: subject_exact:"GARCH model"
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2006
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ARCH model
38
ARCH-Modell
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18
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12
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Rombouts, Jeroen V. K.
McAleer, Michael
58
Chang, Chia-Lin
29
Gupta, Rangan
25
Paolella, Marc S.
25
Kumar, Dilip
21
Bauwens, Luc
19
Herwartz, Helmut
19
Giot, Pierre
16
Ma, Feng
16
Bouri, Elie
15
Caporin, Massimiliano
15
Ardia, David
14
Floros, Christos
14
Huang, Zhuo
14
Mittnik, Stefan
14
Bollerslev, Tim
13
Chen, Cathy W. S.
13
Conrad, Christian
13
Laurent, Sébastien
13
Tiwari, Aviral Kumar
13
Antonakakis, Nikolaos
12
Chlebus, Marcin
12
Francq, Christian
12
Karanasos, Menelaos
12
Koopman, Siem Jan
12
Zakoïan, Jean-Michel
12
Christoffersen, Peter F.
11
Degiannakis, Stavros
11
Diebold, Francis X.
11
Haas, Markus
11
Hafner, Christian M.
11
Malik, Farooq
11
Miller, Stephen M.
11
Wu, Xinyu
11
Brooks, Robert
10
Chiang, Thomas C.
10
Jawadi, Fredj
10
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3
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2
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Cahiers de recherche / HEC Montréal, Institut d'Economie Appliquée
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ERIM report series research in management
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Multivariate volatility forecasts for stock market indices
Wilms, Ines
;
Rombouts, Jeroen V. K.
;
Croux, Christophe
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
Saved in:
2
Root-T consistent density estimation in GARCH models
Delaigle, Aurore
;
Meister, Alexander
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011610662
Saved in:
3
Consistent ranking of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
-
2009
Persistent link: https://www.econbiz.de/10003850918
Saved in:
4
Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2009
Persistent link: https://www.econbiz.de/10003850942
Saved in:
5
Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2009
Persistent link: https://www.econbiz.de/10003849502
Saved in:
6
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
Saved in:
7
Mixed exponential power asymmetric conditional heteroskedasticity
Bouaddi, Mohammed
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003646288
Saved in:
8
Mixed exponential power asymmetric conditional heteroskedasticity
Bouaddi, Mohammed
(
contributor
); …
-
2007
Persistent link: https://www.econbiz.de/10003628635
Saved in:
9
Evaluating portfolio value-at-risk using semi-parametric GARCH models
Rombouts, Jeroen V. K.
(
contributor
); …
-
2004
Persistent link: https://www.econbiz.de/10002505827
Saved in:
10
Dynamic optimal portfolio selection in a VaR framework
Rengifo, Erick W.
;
Rombouts, Jeroen V. K.
-
2004
Persistent link: https://www.econbiz.de/10002347876
Saved in:
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