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~person:"Baum, Christopher F."
~person:"Breitung, Jörg"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
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Search: subject:"Stochastic Volatility"
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Börsenkurs
Kapitaleinkommen
ARCH model
7
ARCH-Modell
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Stochastic process
7
Stochastischer Prozess
7
Volatility
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7
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stochastic volatility
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realized volatility
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Baum, Christopher F.
Breitung, Jörg
McAleer, Michael
10
Tauchen, George Eugene
10
Asai, Manabu
8
Todorov, Viktor
8
Koopman, Siem Jan
6
Li, Jia
6
Omori, Yasuhiro
5
Ravazzolo, Francesco
5
Rodriguez, Gabriel
5
Chang, Chia-Lin
4
Forbes, Catherine Scipione
4
Gupta, Rangan
4
Maneesoonthorn, Worapree
4
Martin, Gael M.
4
Yamauchi, Yuta
4
Bollerslev, Tim
3
Caporin, Massimiliano
3
Chen, Liyuan
3
Gefang, Deborah
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Guidolin, Massimo
3
Huang, Jing-Zhi
3
Ignatieva, Ekaterina
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Koop, Gary
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Li, Yong
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Mandal, Anandadeep
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Nakajima, Jouchi
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Poon, Aubrey
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Poshakwale, Sunil S.
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Witzany, Jiří
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Xu, Li
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2
Alanya, Willy
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Allen, David E.
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Andersen, Torben
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1
Leverage effects and
stochastic
volatility
in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
-
2018
Persistent link: https://www.econbiz.de/10011891048
Saved in:
2
Stochastic
volatility
, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.
;
Zerilli, Paola
;
Chen, Liyuan
- In:
Energy economics
93
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
Saved in:
3
A simple model for now-casting volatility series
Breitung, Jörg
;
Hafner, Christian M.
-
2015
Persistent link: https://www.econbiz.de/10011581871
Saved in:
4
Leverage effects and
stochastic
volatility
in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
5
A simple model for now-casting volatility series
Breitung, Jörg
;
Hafner, Christian M.
- In:
International journal of forecasting
32
(
2016
)
4
,
pp. 1247-1255
Persistent link: https://www.econbiz.de/10011622143
Saved in:
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