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person:"Rombouts, Jeroen V. K."
~subject:"2006"
~subject:"Risikomaß"
~subject:"Volatilität"
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2006
Risikomaß
Volatilität
ARCH model
38
ARCH-Modell
38
Theorie
18
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18
Bayes-Statistik
12
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12
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11
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7
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Rombouts, Jeroen V. K.
McAleer, Michael
130
Chang, Chia-Lin
68
Ma, Feng
60
Gupta, Rangan
58
Bauwens, Luc
36
Bouri, Elie
36
Caporale, Guglielmo Maria
33
Kumar, Dilip
32
Zhang, Yaojie
30
Engle, Robert F.
28
McMillan, David G.
27
Laurent, Sébastien
26
Paolella, Marc S.
26
Hansen, Peter Reinhard
25
Teräsvirta, Timo
25
Hafner, Christian M.
24
Hammoudeh, Shawkat
24
Kang, Sang Hoon
24
Herwartz, Helmut
23
Bollerslev, Tim
22
Caporin, Massimiliano
22
Floros, Christos
22
Wang, Yudong
22
Wei, Yu
22
Liang, Chao
21
Tiwari, Aviral Kumar
21
Yoon, Seong-min
21
Conrad, Christian
20
Degiannakis, Stavros
20
Giot, Pierre
20
Molnár, Peter
20
Serletis, Apostolos
20
Silvennoinen, Annastiina
20
Wu, Xinyu
20
Allen, David E.
19
Huang, Zhuo
19
Mittnik, Stefan
19
Spagnolo, Nicola
19
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ECONIS (ZBW)
12
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1
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
Pricing individual stock options using both stock and market index information
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012221075
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
The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Franceso
- In:
International journal of forecasting
30
(
2013
)
1
,
pp. 78-98
Persistent link: https://www.econbiz.de/10010247010
Saved in:
7
On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
- In:
Journal of econometrics
173
(
2013
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
Saved in:
8
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:
9
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:
10
Multivariate GARCH models : a survey
Bauwens, Luc
;
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001791482
Saved in:
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