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Search: subject_exact:"Autoregressive model"
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Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
Wu, Xinyu
;
Han, Yang
;
Ma, Chaoqun
- In:
Journal of risk
23
(
2021
)
6
,
pp. 1-35
Persistent link: https://www.econbiz.de/10013473133
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2
Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena
;
Shen, Xiangjin
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
Saved in:
3
Scaling protfolio volatility and calculating risk contributions in the presence of serial cross-correlations
Rab, Nikolaus
;
Warnung, Richard
- In:
Journal of risk
14
(
2011/12
)
3
,
pp. 23-52
Persistent link: https://www.econbiz.de/10009531010
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