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~institution:"Tinbergen Instituut"
~subject:"Asset pricing"
~subject:"volatility of volatility"
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Search: subject:"FORECASTING"
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Asset pricing
volatility of volatility
forecasting
12
Forecasting
8
Bayesian analysis
3
Realized volatility
3
Kalman filter
2
State Space
2
Stochastic volatility
2
kernel methods
2
long memory
2
nonlinear forecasting
2
value-at-risk
2
volatility forecasting
2
volatility risk
2
Asymptotic theory
1
Augmented Kalman Filter
1
BRICS
1
Basel Accord
1
Close-to-open gap forecasting
1
Co-Volatility
1
Common Factors
1
Currency hedging strategies
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Daily data
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Dimension reduction
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EM algorithm
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Economic growth
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Electricity market
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Electricity prices
1
Evaluating forecasts
1
Factor models
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Federal funds target rate
1
Fixed-event forecasts
1
Forecast combinations
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Forecasting Conditional Default Probabilities
1
Forecasting Weights
1
Functional data analysis
1
GARCH
1
GARCH models
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High dimensionality
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Allen, David E.
2
McAleer, Michael
2
Scharth, Marcel
2
Hommes, Cars
1
Wagener, Florian
1
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Tinbergen Instituut
Department of Economics and Finance, College of Business and Economics
2
Federal Reserve Bank of Dallas
2
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Federal Reserve Bank of Atlanta
1
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
1
Institute of Economic Research, Kyoto University
1
Tinbergen Institute
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Tinbergen Institute Discussion Papers
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Asymmetric Realized Volatility Risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
Tinbergen Instituut
-
2014
forecasting
errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011272575
Saved in:
2
Realized Volatility Risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
Tinbergen Instituut
-
2013
forecasting
errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164
Saved in:
3
Complex Evolutionary Systems in Behavioral Finance
Hommes, Cars
;
Wagener, Florian
-
Tinbergen Instituut
-
2008
evolutionary systems. Agents are boundedly rational and base their investment decisions upon market
forecasting
heuristics. Prices …
Persistent link: https://www.econbiz.de/10011257611
Saved in:
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