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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of banking & finance"
~subject:"Capital income"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Capital income
Estimation theory
243
Schätztheorie
243
Forecasting model
124
Prognoseverfahren
124
Time series analysis
77
Zeitreihenanalyse
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Clements, Adam
3
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2
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1
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1
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1
Bagnato, Luca
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Finance and stochastics
International journal of forecasting
Journal of banking & finance
Journal of econometrics
160
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
42
Discussion paper / Tinbergen Institute
38
Journal of empirical finance
36
Econometric reviews
30
Economic modelling
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CREATES research paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Econometric theory
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Finance research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of risk and financial management : JRFM
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Journal of financial econometrics
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Quantitative finance
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International journal of theoretical and applied finance
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European journal of operational research : EJOR
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The econometrics journal
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The North American journal of economics and finance : a journal of financial economics studies
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Insurance / Mathematics & economics
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The European journal of finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of economics and financial issues : IJEFI
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Mathematics of operations research
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NBER working paper series
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ECONIS (ZBW)
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1
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
2
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
3
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
4
Physics-informed Gaussian process regression for states estimation and forecasting in power grids
Tartakovsky, Alexandre M.
;
Ma, Tong
;
Barajas-Solano, …
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 967-980
Persistent link: https://www.econbiz.de/10014465184
Saved in:
5
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
6
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
7
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
Saved in:
8
Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
Saved in:
9
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:
10
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
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