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Marcel Scharth

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This is information that was supplied by Marcel Scharth in registering through RePEc. If you are Marcel Scharth , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Marcel
Middle Name:
Last Name: Scharth
Suffix:

RePEc Short-ID: psc385

Email:
Homepage: http://staff.feweb.vu.nl/mscharth/
Postal Address: Department of Econometrics Faculty of Economics and Business Administration VU University Amsterdam De Boelelaan 1105 1081 HV Amsterdam The Netherlands
Phone: +31 614546670

Affiliation

(in no particular order)

Works

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Working papers

  1. David E. Allen & Michael McAleer & Marcel Scharth, 2014. "Asymmetric Realized Volatility Risk," Documentos del Instituto Complutense de Análisis Económico 2014-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
  2. Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2012. "Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models," Tinbergen Institute Discussion Papers 12-020/4, Tinbergen Institute.
  3. Siem Jan Koopman & Marcel Scharth, 2011. "The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures," Tinbergen Institute Discussion Papers 11-132/4, Tinbergen Institute.
  4. Siem Jan Koopman & Andre Lucas & Marcel Scharth, 2011. "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models," Tinbergen Institute Discussion Papers 11-057/4, Tinbergen Institute, revised 27 Jan 2012.
  5. David E. Allen & Michael McAleer & Marcel Scharth, 2009. "Realized Volatility Risk," CIRJE F-Series CIRJE-F-693, CIRJE, Faculty of Economics, University of Tokyo.
  6. Marcelo Fernandes & Marcelo Cunha Medeiros & MArcelo Scharth, 2007. "Modeling and predicting the CBOE market volatility index," Textos para discussão 548, Department of Economics PUC-Rio (Brazil).
  7. Marcel Scharth & Marcelo Cunha Medeiros, 2006. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," Textos para discussão 532, Department of Economics PUC-Rio (Brazil).

Articles

  1. Scharth, Marcel & Medeiros, Marcelo C., 2009. "Asymmetric effects and long memory in the volatility of Dow Jones stocks," International Journal of Forecasting, Elsevier, vol. 25(2), pages 304-327.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (3) 2009-12-19 2010-07-03 2010-09-18. Author is listed
  2. NEP-BEC: Business Economics (4) 2009-12-19 2010-07-03 2010-09-18 2011-01-03. Author is listed
  3. NEP-CFN: Corporate Finance (1) 2007-08-27
  4. NEP-CMP: Computational Economics (1) 2011-04-02
  5. NEP-ECM: Econometrics (5) 2009-12-19 2010-07-03 2011-04-02 2011-10-01 2012-03-14. Author is listed
  6. NEP-ETS: Econometric Time Series (5) 2007-01-13 2010-07-03 2010-09-18 2011-01-03 2011-04-02. Author is listed
  7. NEP-FMK: Financial Markets (4) 2007-01-13 2009-12-19 2010-09-18 2014-01-17. Author is listed
  8. NEP-FOR: Forecasting (7) 2007-01-13 2007-08-27 2010-07-03 2010-09-18 2011-01-03 2011-10-01 2012-03-14. Author is listed
  9. NEP-MAC: Macroeconomics (1) 2007-08-27
  10. NEP-MST: Market Microstructure (5) 2009-12-19 2010-07-03 2010-09-18 2011-01-03 2014-01-17. Author is listed
  11. NEP-ORE: Operations Research (3) 2011-04-02 2011-10-01 2012-03-14. Author is listed
  12. NEP-RMG: Risk Management (6) 2007-01-13 2007-08-27 2010-07-03 2010-09-18 2011-01-03 2014-01-17. Author is listed
  13. NEP-UPT: Utility Models & Prospect Theory (2) 2009-12-19 2010-07-03

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