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~subject:"GARCH"
~institution:"Rimini Centre for Economic Analysis (RCEA)"
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GARCH
volatility
3
ARCH
2
Volatility
2
growth volatility
2
multiple regimes
2
stochastic volatility
2
threshold regression
2
Asian currency crisis 1997
1
Bayesian MCMC
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Dirichlet process mixture
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S&P 500 returns
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Second-Order Approximation Methods
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Amisano, Gianni
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Geweke, John
1
Politis, Dimitris N.
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Thomakos, Dimitrios D.
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Rimini Centre for Economic Analysis (RCEA)
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
33
EconWPA
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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School of Economics and Management, University of Aarhus
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Economics Institute for Research (SIR), Handelshögskolan i Stockholm
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Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
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Erasmus University Rotterdam, Econometric Institute
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Society for Computational Economics - SCE
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Tinbergen Institute
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Tinbergen Instituut
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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European Central Bank
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Economics Department, Ben Gurion University of the Negev
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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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:
2
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
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