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  • Search: subject:"Large-scale study"
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Year of publication
Subject
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ARCH model 2 ARCH-Modell 2 Capital income 2 Forecasting model 2 GARCH 2 Kapitaleinkommen 2 MSGARCH 2 Prognoseverfahren 2 Risikomanagement 2 Risikomaß 2 Risk management 2 Risk measure 2 Ankündigungseffekt 1 Announcement effect 1 Börsenkurs 1 Capital market returns 1 Earnings announcement 1 Expected shortfall 1 Forecasting performance 1 Gewinnprognose 1 Kapitalmarktrendite 1 Large-scale study 1 Markov chain 1 Markov-Kette 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risk 1 Share price 1 Theorie 1 Theory 1 Time series analysis 1 US industrial production 1 USA 1 United States 1 Value-at-risk 1 Zeitreihenanalyse 1 abnormal return 1 abnormal tone 1 earnings announcements 1
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1 Collection of articles of several authors 1 Collection of articles written by one author 1 Graue Literatur 1 Hochschulschrift 1 Non-commercial literature 1 Sammelwerk 1 Sammlung 1
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Language
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English 2
Author
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Bluteau, Keven 2 Ardia, David 1 Boudt, Kris 1 Catania, Leopoldo 1
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International journal of forecasting 1
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Modeling latent variables in economics and finance
Bluteau, Keven - 2019
The subject of unobservable variables encompasses this thesis. These latent (i.e., unobservable) variables must be inferred using statistical models or observable proxies. The objectives of my doctoral thesis are to develop and test new statistical models to infer these variables and link them...
Persistent link: https://www.econbiz.de/10012055679
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Cover Image
Forecasting risk with Markov-switching GARCH models : a large-scale performance study
Ardia, David; Bluteau, Keven; Boudt, Kris; Catania, Leopoldo - In: International journal of forecasting 34 (2018) 4, pp. 733-747
Persistent link: https://www.econbiz.de/10012031094
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