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University of California, San Diego (UCSD) - Department of Economics
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Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation
Volatility, ARCH, Option Implied, High Frequency Data, Forecast Evaluation.
Hidden Cointegration, Crouching Error Correction Models, Shocks, Interest Rates, Hysteresis of Unemployment
Long Memory, Structural Breaks, Fractional Integration, Volatility Components, Regime Switching, Volatility Forecasting
Nonlinear Transformations, Long Memory, Fractional Integration, Antipersistence, Nonstationarity, Hermite Rank, Moments
Common factors, copulas, business cycles
Volatility Clustering, Induced Volatility Clustering, Stochastic Volatility, ARCH
Spatial Correlation, Aggregation, Forecast Efficiency, Space-Time Models
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3593.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Efficient market hypothesis, forecast evaluation, model specification, learning
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: obes.
File name: cbi001.
File name: jtsa.
File name: jtsa.
File name: j-0335.
Quantitative Tools, Econometric and Statistical Methods, Investment Theory, Efficient Market Theory, Portfolio Theory
Risk Measurement and Management, Quantitative Tools, Econometric and Statistical Methods
Self-Generation, Cointegrated VAR, Common Stochastic Trends, Aggregation of Time Series, Efficiency of Forecasting
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