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~institution:"Banca d'Italia"
~institution:"Rimini Centre for Economic Analysis (RCEA)"
~institution:"Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät"
~subject:"GARCH"
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GARCH
stochastic volatility
8
volatility
6
ARCH
5
option pricing
3
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2
Hedging
2
Implied Volatility Surface
2
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2
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adaptive estimation
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forecasting
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growth volatility
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local homogeneity
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2005): banks with a multinational profile use their informational advantage to arbitrage out the differences in interest rates across countries
1
ARCH models
1
Additive Mean
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Asian currency crisis 1997
1
Asset pricing
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Backfitting
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Dirichlet process mixture
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Foreign exchange market volatility
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Functional Principal Component Analysis
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Herwartz, Helmut
2
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1
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1
Geweke, John
1
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1
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1
Politis, Dimitris N.
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Banca d'Italia
Rimini Centre for Economic Analysis (RCEA)
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
33
EconWPA
8
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
7
School of Economics and Management, University of Aarhus
7
HAL
6
Agricultural and Applied Economics Association - AAEA
5
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
5
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
4
Erasmus University Rotterdam, Econometric Institute
4
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
4
Society for Computational Economics - SCE
4
Tinbergen Institute
4
Tinbergen Instituut
4
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3
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
3
Economic Research Southern Africa (ERSA)
3
European Central Bank
3
Université Paris-Dauphine (Paris IX)
3
Department of Economics, Stanford University
2
Department of Economics, University of California-San Diego (UCSD)
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East Asian Bureau of Economic Research (EABER)
2
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
2
Economics Department, Ben Gurion University of the Negev
2
Ehrvervøkonomisk Institut, Institut for Økonomi
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2
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2
Henley Business School, University of Reading
2
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2
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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1
The role of financial investments in agricultural commodity derivatives markets
Borin, Alessandro
;
Nino, Virginia Di
-
Banca d'Italia
-
2012
volatility
of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … associated with lower
volatility
of futures returns, while that of swap dealers is sometimes followed by higher price variations. …
Persistent link: https://www.econbiz.de/10009645788
Saved in:
2
Optimal Prediction Pools
Geweke, John
;
Amisano, Gianni
-
Rimini Centre for Economic Analysis (RCEA)
-
2008
returns with prediction models from the ARCH, stochastic
volatility
and Markov mixture families. In this example models that …
Persistent link: https://www.econbiz.de/10005091090
Saved in:
3
NoVaS Transformations: Flexible Inference for
Volatility
Forecasting
Thomakos, Dimitrios D.
;
Politis, Dimitris N.
-
Rimini Centre for Economic Analysis (RCEA)
-
2007
In this paper we contribute several new results on the NoVaS transformation approach for
volatility
forecasting … present a new method for
volatility
forecasting using NoVaS ; (c) we show that the NoVaS methodology is applicable in … processes. This is especially relevant in the context of
volatility
predictions for risk management. We further illustrate the …
Persistent link: https://www.econbiz.de/10005091122
Saved in:
4
Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
Herwartz, Helmut
;
Reimers, Hans-Eggert
-
Sonderforschungsbereich 373, Quantifikation und …
-
2001
- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for
volatility
e1ustering … prices. Having identified subperiods of homogeneous
volatility
dynamics we concentrate on stylized facts to distinguish these …
volatility
regimes. The bottom level of estimated
volatility
turns out be considerably higher during the second part of the …
Persistent link: https://www.econbiz.de/10010956551
Saved in:
5
Testing for linear autoregressive dynamics under heteroskedasticity
Hafner, Christian M.
;
Herwartz, Helmut
-
Sonderforschungsbereich 373, Quantifikation und …
-
1998
the
volatility
process we assume GARCH, TGARCH and stochastic
volatility
. The results indicate that standard QML inference … for the autoregressive parameter is negatively affected by misspecification of the
volatility
process. We show that …
Persistent link: https://www.econbiz.de/10010956379
Saved in:
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