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Laurent, Sébastien
26
Lunde, Asger
15
Beine, Michel
7
Boudt, Kris
5
Giot, Pierre
5
Hansen, Peter R.
5
Lecourt, Christelle
5
Hansen, Peter Reinhard
4
Palm, Franz C.
3
Shephard, Neil
3
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2
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2
Croux, Christophe
2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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Journal of applied econometrics
6
Journal of empirical finance
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of econometrics
4
Journal of international financial markets, institutions & money
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Financial markets and portfolio management
2
Revue économique
2
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1
Computational economics
1
Econometric reviews
1
Economics letters
1
Energy economics
1
European economic review : EER
1
International journal of finance & economics : IJFE
1
International journal of forecasting
1
Journal of economic dynamics & control
1
Journal of economic surveys
1
Journal of risk
1
Oxford bulletin of economics and statistics
1
Risk : managing risk in the world's financial markets
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The econometrics journal
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The journal of futures markets
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OLC EcoSci
RePEc
934
ECONIS (ZBW)
385
EconStor
15
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4
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4
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1
Robust forecasting of dynamic conditional correlation GARCH models
Boudt, Kris
;
Daníelsson, Jón
;
Laurent, Sébastien
- In:
International journal of forecasting
29
(
2013
)
2
,
pp. 244-257
Persistent link: https://www.econbiz.de/10010087831
Saved in:
2
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 353-368
Persistent link: https://www.econbiz.de/10008849033
Saved in:
3
Asset allocation with conditional value-at-risk budgets
Boudt, Kris
;
Carl, Peter
;
Peterson, Brian G
- In:
Journal of risk
15
(
2013
)
3
,
pp. 39-68
Persistent link: https://www.econbiz.de/10010104415
Saved in:
4
The impact of a sustainability constraint on the mean-tracking error efficient frontier
Boudt, Kris
;
Cornelissen, Jonathan
;
Croux, Christophe
- In:
Economics letters
119
(
2013
)
3
,
pp. 255-260
Persistent link: https://www.econbiz.de/10010108383
Saved in:
5
Market risk - Component VAR for a non-normal world - It has become standard to account for non-normality when estimating portfolio value-at-risk, but there are few methods available to calculate the risk contributions of each component in a non-normal portfolio. The authors present a method for decomposing the VAR of a non-normal portfolio into the component risks of each position in a coherent ...
Peterson, Brian
;
Boudt, Kris
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
11
,
pp. 78-81
Persistent link: https://www.econbiz.de/10008148068
Saved in:
6
Consistent ranking of volatility models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 97-122
Persistent link: https://www.econbiz.de/10006747797
Saved in:
7
Choosing the Best Volatility Models: The Model Confidence Set Approach
Hansen, Peter Reinhard
;
Lunde, Asger
;
Nason, James M.
- In:
Oxford bulletin of economics and statistics
65
(
2003
),
pp. 839-862
Persistent link: https://www.econbiz.de/10006431521
Saved in:
8
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
Lunde, Asger
;
Timmermann, Allan
- In:
Journal of business & economic statistics : JBES ; a …
22
(
2004
)
3
,
pp. 253-273
Persistent link: https://www.econbiz.de/10008214563
Saved in:
9
The 2005 Invited Address - Rejoinder - Realized Variance and Market Microstructure Noise
Hansen, Peter R.
;
Lunde, Asger
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 208-218
Persistent link: https://www.econbiz.de/10008222683
Saved in:
10
The 2005 Invited Address - Realized Variance and Market Microstructure Noise
Hansen, Peter R.
;
Lunde, Asger
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 127-161
Persistent link: https://www.econbiz.de/10008222693
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