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  • Your search results: "Econometrics"
Showing 1 - 20 results of 55,145 for search '"Econometrics"', query time: 1.27s Narrow search
  • 1
    Cover Image eJournal
    Journal of econometrics
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    Exemplare Uni Bonn from 1973
  • 2
    Cover Image eJournal
    Journal of applied econometrics
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    Exemplare Uni Bonn from 1986
  • 3
    Cover Image eJournal
    The econometrics journal
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    Exemplare Uni Bonn from 1998
  • 4
    Cover Image eJournal
    Journal of financial econometrics
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  • 5
    Cover Image Journal Article
    A Simple Approximate Long-Memory Model of Realized Volatility
    by Corsi, Fulvio Published in Journal of financial econometrics (20090000)
    “...Journal of Financial Econometrics, 2009, Vol. 7, No. 2, 174196 abstract The paper proposes an additive cascade model of volatility components dened...”
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  • 6
    Cover Image eJournal
    Journal of time series econometrics
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  • 7
    Cover Image Journal Article
    Modeling International Financial Returns with a Multivariate Regime-switching Copula
    by Chollete, Lorán   Heinen, Andréas   Valdesogo, Alfonso Published in Journal of financial econometrics (20090000)
    “...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 437480 Lorn Chollete Norwegian School of Economics and Business Administration (NHH) Andras Heinen...”
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  • 8
    Cover Image Journal Article
    Comparison of Volatility Measures: a Risk Management Perspective
    by Brownlees, Christian T   Gallo, Giampiero M Published in Journal of financial econometrics (20100000)
    “...In this paper we address the issue of forecasting Value-at-Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility,...”
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  • 9
    Cover Image Journal Article
    Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
    by Silvennoinen, Annastiina   Teräsvirta, Timo Published in Journal of financial econometrics (20090000)
    “...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 373411 abstract In this paper, we propose a multivariate GARCH model with a time-varying conditional...”
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  • 10
    Cover Image Journal Article
    Intra-daily Volume Modeling and Prediction for Algorithmic Trading
    by Brownlees, Christian T   Cipollini, Fabrizio   Gallo, Giampiero M Published in Journal of financial econometrics (20110000)
    “...The explosion of algorithmic trading has been one of the most pro-minent recent trends in the financial industry. Algorithmic trading consists of automated...”
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  • 11
    Cover Image Journal Article
    Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall
    by Taylor, James W Published in Journal of financial econometrics (20080000)
    “...Journal of Financial Econometrics, 2008, Vol. 6, No. 3, 382406 abstract We propose exponentially weighted quantile regression (EWQR) for estimating time...”
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  • 12
    Cover Image Journal Article
    American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
    by Stentoft, Lars Published in Journal of financial econometrics (20080000)
    “...Journal of Financial Econometrics, 2008, Vol. 6, No. 4, 540582 abstract In this paper we propose a feasible way to price American options in a model with time...”
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  • 13
    Cover Image Journal Article
    A Short Introduction to Correlation Markets
    by Collin-Dufresne, Pierre Published in Journal of financial econometrics (20090000)
    “...Journal of Financial Econometrics, 2009, Vol. 7, No. 1, 1229 abstract This short note gives a short overview of correlation markets and was prepared...”
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  • 14
    Cover Image Journal Article
    CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
    by Broda, Simon A   Paolella, Marc S Published in Journal of financial econometrics (20090000)
    “...Journal of Financial Econometrics, 2009, Vol. 7, No. 4, 412436 Simon A. Broda Department of Quantitative Economics, University of Amsterdam Marc S. Paolella...”
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  • 15
    Cover Image Journal Article
    Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading
    by Tay, Anthony   Ting, Christopher   Tse, Yiu Kuen   Warachka, Mitch Published in Journal of financial econometrics (20090000)
    “...Journal of Financial Econometrics, 2009, Vol. 7, No. 3, 288311 abstract This paper applies the asymmetric autoregressive conditional duration (AACD) model...”
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  • 16
    Cover Image Journal Article
    Shifts in Individual Parameters of a GARCH Model
    by Galeano, Pedro   Tsay, Ruey S Published in Journal of financial econometrics (20100000)
    “...Most asset return series, especially those in high frequency, show high excess kurtosis and persistence in volatility that cannot be adequately described by...”
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  • 17
    Cover Image Journal Article
    Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models
    by Hahn, Markus   Frühwirth-Schnatter, Sylvia   Sass, Jörn Published in Journal of financial econometrics (20100000)
    “... with a common state process. For the econometric estimation of the states for drift and volatility and the rate matrix of the underlying Markov chain, we develop both an exact continuous time and an approximate discrete-time...”
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  • 18
    Cover Image Newspaper Article
    Regulatory update: Minnesota Public Utilities Commission; MINNESOTA POWER , has issued REPORT--2018 ANNUAL ELECTRIC UTILITY FORECAST REPORT (replacing deleted 20186-144335-01, 02)
    Published in US Official News (24.04.2019)
    Why is this result displayed?  Your search term was found in indexed contents.
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  • 19
    Cover Image Journal Article
    Linear Correlation and EVT: Properties and Caveats
    by Embrechts, Paul Published in Journal of financial econometrics (20090000)
    “...Journal of Financial Econometrics, 2009, Vol. 7, No. 1, 3039 Paul Embrechts Department of Mathematics and RiskLab ETH Zurich, Switzerland abstract Due...”
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  • 20
    Cover Image Journal Article
    Asymmetric Stochastic Conditional Duration Model-A Mixture-of-Normal Approach
    by Xu, Dinghai   Knight, John   Wirjanto, Tony S Published in Journal of financial econometrics (20110000)
    “...This paper extends the stochastic conditional duration model first proposed by Bauwens and Veredas (2004) by imposing mixtures of bivariate normal...”
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