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~person:"Fuertes, Ana María"
~person:"Kok Haur Ng"
~subject:"Prognoseverfahren"
~subject:"Theorie"
~type_genre:"Article in journal"
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Prognoseverfahren
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10
Risk measure
10
Forecasting model
7
ARCH model
6
ARCH-Modell
6
Volatility
6
Volatilität
6
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5
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5
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4
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4
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Value-at-Risk
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CARR model
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price discovery
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realized volatility
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Fuertes, Ana María
Kok Haur Ng
Wang, Ruodu
24
Righi, Marcelo Brutti
17
Rosazza Gianin, Emanuela
14
Rüschendorf, Ludger
12
Boonen, Tim J.
11
Brandtner, Mario
11
Cheung, Ka Chun
11
Gerlach, Richard
11
Embrechts, Paul
10
Fabozzi, Frank J.
10
Furman, Edward
10
Tan, Ken Seng
10
Kürsten, Wolfgang
9
Landsman, Zinoviy
9
Mao, Tiantian
9
Müller, Fernanda Maria
9
Rudloff, Birgit
9
Daníelsson, Jón
8
Härdle, Wolfgang
8
McAleer, Michael
8
Munari, Cosimo-Andrea
8
Puccetti, Giovanni
8
Račev, Svetlozar T.
8
Vanduffel, Steven
8
Asimit, Alexandru V.
7
Balbás de la Corte, Alejandro
7
Bellini, Fabio
7
Bernard, Carole
7
Cai, Jun
7
Chen, Cathy W. S.
7
Chen, Zhiping
7
Chi, Yichun
7
Degiannakis, Stavros
7
Guillén, Montserrat
7
Jarrow, Robert A.
7
Pichler, Alois
7
Su, Jianxi
7
Tang, Qihe
7
Taylor, James W.
7
Wang, Chao
7
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International journal of forecasting
3
International review of economics & finance : IREF
1
Journal of commodity markets
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The North American journal of economics and finance : a journal of financial economics studies
1
The North American journal of economics and finance : a journal of theory and practice
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ECONIS (ZBW)
9
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1
Forecasting volatility of stock indices : improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators
Zhi De Khoo
;
Kok Haur Ng
;
You Beng Koh
;
Kooi Huat Ng
- In:
The North American journal of economics and finance : a …
71
(
2024
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014492106
Saved in:
2
A Bayesian perspective on commodity style integration
Fuertes, Ana María
;
Zhao, Nan
- In:
Journal of commodity markets
30
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014426739
Saved in:
3
Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Tan, Shay Kee
;
Chan, Jennifer So Kuen
;
Kok Haur Ng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
Saved in:
4
Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data
Tan, Shay Kee
;
Kok Haur Ng
;
Chan, Jennifer So Kuen
; …
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 537-551
Persistent link: https://www.econbiz.de/10012120126
Saved in:
5
Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
Chan, Jennifer So-Kuen
;
Kok Haur Ng
;
Ragell, Rachel
- In:
International review of economics & finance : IREF
61
(
2019
),
pp. 188-212
Persistent link: https://www.econbiz.de/10012205409
Saved in:
6
Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
7
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
8
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
Fuertes, Ana María
;
Olmo, Jose
- In:
International journal of forecasting
29
(
2013
)
1
,
pp. 28-42
Persistent link: https://www.econbiz.de/10009706180
Saved in:
9
On forecasting daily stock volatility : the role of intraday information and market conditions
Fuertes, Ana María
;
Izzeldin, Marwan
;
Kalotychou, Elena
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 259-281
Persistent link: https://www.econbiz.de/10003870053
Saved in:
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