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subject:"Volatility"
type_genre:"Article in journal"
~person:"Kumar, Dilip"
~person:"Rahbek, Anders"
~subject:"ARCH-Modell"
~type_genre:"Bibliografie enthalten"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
32
Schätztheorie
32
ARCH model
20
Volatilität
17
Estimation
11
Schätzung
11
Forecasting model
10
Prognoseverfahren
10
Capital income
9
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9
Time series analysis
8
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6
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Share price
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Volatility modeling
5
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Volatility forecasting
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Bias corrected extreme value estimator
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Article in journal
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Kumar, Dilip
Rahbek, Anders
Francq, Christian
19
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Hafner, Christian M.
9
Linton, Oliver
8
Teräsvirta, Timo
8
Andersen, Torben
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
McAleer, Michael
7
Mykland, Per A.
7
Ardia, David
6
Bollerslev, Tim
6
Fan, Jianqing
6
Koopman, Siem Jan
6
Li, Wai Keung
6
Ling, Shiqing
6
Wang, Yazhen
6
Bauwens, Luc
5
Elliott, Robert J.
5
Ghysels, Eric
5
Horváth, Lajos
5
Jing, Bingyi
5
Kristensen, Dennis
5
Li, Guodong
5
Paolella, Marc S.
5
Shin, Dong-wan
5
Sucarrat, Genaro
5
Taylor, Stephen
5
Zhu, Ke
5
Arnerić, Josip
4
Arvanitis, Stelios
4
Asai, Manabu
4
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Economic modelling
4
IIMB management review
2
International review of economics & finance : IREF
2
Journal of econometrics
2
The journal of prediction markets
2
Theoretical economics letters
2
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1
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1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
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1
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1
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ECONIS (ZBW)
24
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1
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
2
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Cavaliere, Giuseppe
;
Bohn Nielsen, Heino
;
Pedersen, …
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 241-263
Persistent link: https://www.econbiz.de/10013441653
Saved in:
3
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
4
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
5
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
6
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
7
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
8
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
9
Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
Kumar, Dilip
- In:
IIMB management review
29
(
2017
)
4
,
pp. 294-310
Persistent link: https://www.econbiz.de/10011879691
Saved in:
10
Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
Kumar, Dilip
- In:
IIMB management review
28
(
2016
)
1
,
pp. 31-42
Persistent link: https://www.econbiz.de/10011508738
Saved in:
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