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Heteroscedasticity
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ARCH model
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conditional heteroskedasticity
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Journal of forecasting
Journal of econometrics
73
Econometric theory
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31
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28
Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Cowles Foundation discussion paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CESifo Working Paper Series
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DIW Berlin Discussion Paper
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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1
Forecasting volatility with many predictors
Ke, Tsung-han
;
Hu, Yu-pin
- In:
Journal of forecasting
32
(
2013
)
8
,
pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
Saved in:
2
A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat
;
Mukherjee, Kanchan
- In:
Journal of forecasting
31
(
2012
)
5
,
pp. 377-390
Persistent link: https://www.econbiz.de/10009582118
Saved in:
3
Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.
;
So, Mike Ka-pui
;
Lin, Edward M. H.
- In:
Journal of forecasting
28
(
2009
)
8
,
pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
Saved in:
4
Prediction in the two-way random-effect model with heteroskedasticity
Kouassi, Eugène
;
Kymn, Kern O.
- In:
Journal of forecasting
27
(
2008
)
5
,
pp. 451-463
Persistent link: https://www.econbiz.de/10003826805
Saved in:
5
Single-season heteroscedasticity in time series
Tripodis, Yorghos
;
Penzer, Jeremy
- In:
Journal of forecasting
26
(
2007
)
3
,
pp. 189-202
Persistent link: https://www.econbiz.de/10003454466
Saved in:
6
Robust modelling of ARCH models
Jiang, Jiancheng
;
Zhao, Quanshui
;
Hui, Yer Van
- In:
Journal of forecasting
20
(
2001
)
2
,
pp. 111-133
Persistent link: https://www.econbiz.de/10001570436
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