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subject:"Volatilität"
~isPartOf:"CREATES research paper"
~subject:"Bayesian inference"
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Search: subject_exact:"Econometric specification"
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Volatilität
Bayesian inference
Modellierung
32
Scientific modelling
32
Time series analysis
12
Zeitreihenanalyse
12
Volatility
9
Stochastic process
7
Stochastischer Prozess
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ARCH model
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ARCH-Modell
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Estimation theory
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Theorie
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Statistischer Test
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Induktive Statistik
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Martingal
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Martingale
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Nichtparametrisches Verfahren
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Nonlinear regression
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Nonparametric statistics
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Portfolio selection
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Portfolio-Management
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Risikoprämie
2
Risk premium
2
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Andersen, Torben
2
Grassi, Stefano
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Proietti, Tommaso
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Todorov, Viktor
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Bach, Christian
1
Bollerslev, Tim
1
Christensen, Bent Jesper
1
Dziubinski, Matt
1
Fusari, Nicola
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Hansen, Peter Reinhard
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Huang, Zhuowei
1
Podolskij, Mark
1
Rosenbaum, Mathieu
1
Shek, Howard Howan
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Silvennoinen, Annastiina
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Sizova, Natalia
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Teräsvirta, Timo
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CREATES research paper
Journal of econometrics
28
Econometric reviews
18
Discussion paper / Tinbergen Institute
17
Working paper
16
Journal of forecasting
14
International journal of forecasting
13
Econometric Institute research papers
12
Journal of applied econometrics
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Econometrics : open access journal
9
Economic modelling
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Economics letters
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Journal of the American Statistical Association : JASA
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Discussion papers / CEPR
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Journal of economic dynamics & control
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NBER working paper series
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Tinbergen Institute research series
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Working paper / Norges Bank
8
CAMP working paper series
7
NBER Working Paper
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Applied economics
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CESifo working papers
6
Discussion papers / Adam Smith Business School, University of Glasgow
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
6
CAMA working paper series
5
CEMMAP working papers / Centre for Microdata Methods and Practice
5
Energy economics
5
European economic review : EER
5
Journal of empirical finance
5
Journal of macroeconomics
5
Journal of money, credit and banking : JMCB
5
Research series / Universiteit van Amsterdam
5
Risks : open access journal
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Scandinavian actuarial journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
Working paper / Central Bank of Iceland
5
Working papers
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Discussion paper / Centre for Economic Policy Research
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European journal of operational research : EJOR
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ECONIS (ZBW)
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Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
2
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
3
Bayesian stochastic model specification search for seasonal and calendar effects
Proietti, Tommaso
;
Grassi, Stefano
-
2011
Persistent link: https://www.econbiz.de/10008841795
Saved in:
4
Option valuation with the simplified component GARCH model
Dziubinski, Matt
-
2011
Persistent link: https://www.econbiz.de/10008857566
Saved in:
5
Characterizing economic trends by Bayesian stochastic model specification search
Grassi, Stefano
;
Proietti, Tommaso
-
2011
Persistent link: https://www.econbiz.de/10009006817
Saved in:
6
Testing the local volatility assumption : a statistical approach
Podolskij, Mark
;
Rosenbaum, Mathieu
-
2011
Persistent link: https://www.econbiz.de/10008807427
Saved in:
7
Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuowei
;
Shek, Howard Howan
-
2010
Persistent link: https://www.econbiz.de/10003941851
Saved in:
8
Latent integrated stochastic volatility, realized volatility, and implied volatility : a state space approach
Bach, Christian
;
Christensen, Bent Jesper
-
2010
Persistent link: https://www.econbiz.de/10008857837
Saved in:
9
Volatility in equilibrium : asymmetries and dynamic dependencies
Bollerslev, Tim
;
Sizova, Natalia
;
Tauchen, George Eugene
-
2009
Persistent link: https://www.econbiz.de/10003849492
Saved in:
10
Realized volatility and multipower variation
Andersen, Torben
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003892558
Saved in:
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