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isPartOf:"Journal of econometrics"
~isPartOf:"CORE discussion paper : DP"
~isPartOf:"Econometric Reviews"
~person:"Barigozzi, Matteo"
~person:"Francq, Christian"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~person:"Zhou, Hao"
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Search: subject_exact:"Volatility"
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Volatility
28
Volatilität
27
Estimation
10
Estimation theory
10
Schätztheorie
10
Schätzung
10
Forecasting model
9
Prognoseverfahren
9
ARCH model
8
ARCH-Modell
8
Börsenkurs
7
Share price
7
Theorie
7
Theory
7
Time series analysis
7
Zeitreihenanalyse
7
Capital income
6
Kapitaleinkommen
6
Stochastic process
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5
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Leverage effect
3
Noise Trading
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3
Regression analysis
3
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3
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3
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26
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English
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Barigozzi, Matteo
Francq, Christian
Ghysels, Eric
Mykland, Per A.
Zhou, Hao
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Giot, Pierre
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hafner, Christian M.
5
Hallin, Marc
5
Li, Yingying
5
Renault, Eric
5
Taylor, Robert
5
Boswijk, Herman Peter
4
Jasiak, Joann
4
Laurent, Sébastien
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renò, Roberto
4
Rombouts, Jeroen V. K.
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Bauwens, Luc
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
CORE discussion paper : DP
Econometric Reviews
Finance and economics discussion series
9
ECARES working paper
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
3
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3
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2
Journal of banking & finance
2
Journal of financial econometrics
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2
Studies in Nonlinear Dynamics & Econometrics
2
The review of financial studies
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Annals of economics and statistics
1
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1
Asian Finance Association (AsianFA) 2014 Conference Paper
1
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1
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Econometric analysis of financial and economic time series ; part a
1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics Working Papers Archive
1
Economics Papers / Economics Group, Nuffield College, University of Oxford
1
Economics working paper series
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Handbook of financial time series
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Journal of Econometrics
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Journal of applied econometrics
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ECONIS (ZBW)
27
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1
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1
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
2
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
3
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
4
Liquidity and volatility in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Saved in:
5
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
6
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
7
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
8
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
9
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
10
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
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