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isPartOf:"Journal of econometrics"
~accessRights:"restricted"
~person:"Hounyo, Ulrich"
~person:"Poon, Aubrey"
~person:"Taylor, Robert"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Zeitreihenanalyse
Time series analysis
7
Volatility
7
Volatilität
7
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4
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4
Estimation
4
Schätzung
4
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(un)Conditional heteroskedasticity
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Hounyo, Ulrich
Poon, Aubrey
Taylor, Robert
Li, Jia
6
Todorov, Viktor
6
Kim, Donggyu
5
Li, Yingying
5
Andersen, Torben
4
Bollerslev, Tim
4
Hallin, Marc
4
Patton, Andrew J.
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4
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3
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2
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2
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2
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2
Clinet, Simon
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Li, Guodong
2
Li, Wai Keung
2
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2
Petrova, Katerina
2
Podolskij, Mark
2
Potiron, Yoann
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Quaedvlieg, Rogier
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1
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Journal of econometrics
International journal of forecasting
2
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1
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
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1
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
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2
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
3
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 354-388
Persistent link: https://www.econbiz.de/10012483394
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4
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
5
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
6
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
Saved in:
7
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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