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subject:"Portfolio-Management"
subject:"USA"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~person:"Asai, Manabu"
~subject:"Schätzung"
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Portfolio-Management
USA
Schätzung
Theorie
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Theory
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Volatility
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Volatilität
3
Capital income
2
Estimation
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Kapitaleinkommen
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Leverage effects
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Long memory
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Multivariate stochastic volatility
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Stochastic process
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Stochastischer Prozess
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Time series analysis
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ARCH model
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ARCH-Modell
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Capital market returns
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Dimension reduction
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Dynamic covariance matrix
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Factor analysis
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Factor model
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Faktorenanalyse
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Feedback effects
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Finite sample properties
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Forecasting performance
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Kapitalmarktrendite
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Matrix-exponential transformation
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Monte Carlo simulation
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Asai, Manabu
Aït-Sahalia, Yacine
5
Diebold, Francis X.
5
Koop, Gary
5
Pesaran, M. Hashem
5
Dijk, Dick van
4
Koopman, Siem Jan
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Steel, Mark F. J.
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Timmermann, Allan
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Hansen, Lars Peter
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Heckman, James J.
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Herwartz, Helmut
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Lucas, André
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Marcellino, Massimiliano
3
McAleer, Michael
3
Phillips, Peter C. B.
3
Sasaki, Yuya
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Swanson, Norman R.
3
Todorov, Viktor
3
Zhang, Zhengjun
3
Andersen, Torben
2
Armstrong, Jon Scott
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Arvanitis, Stelios
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Chudik, Alexander
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International journal of forecasting
Journal of econometrics
Discussion paper / Tinbergen Institute
2
Econometric reviews
2
The North American journal of economics and finance : a journal of financial economics studies
2
Asia-Pacific financial markets
1
Econometric Institute research papers
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Econometrics : open access journal
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International journal of finance & economics : IJFE
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
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2
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
3
A Portfolio Index GARCH model
Asai, Manabu
;
McAleer, Michael
- In:
International journal of forecasting
24
(
2008
)
3
,
pp. 449-461
Persistent link: https://www.econbiz.de/10003764112
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