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isPartOf:"Journal of econometrics"
~isPartOf:"CORE discussion paper : DP"
~person:"Francq, Christian"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~subject:"ARCH model"
~subject:"Capital income"
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Search: subject_exact:"Volatility"
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ARCH model
Capital income
Volatility
18
Volatilität
18
Estimation theory
9
Schätztheorie
9
Börsenkurs
6
Estimation
6
Schätzung
6
Share price
6
ARCH-Modell
5
Kapitaleinkommen
5
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5
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5
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4
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4
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2
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2
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Francq, Christian
Ghysels, Eric
Mykland, Per A.
Bollerslev, Tim
9
Todorov, Viktor
8
Andersen, Torben
5
Meddahi, Nour
5
Xiu, Dacheng
5
Giot, Pierre
4
Rombouts, Jeroen V. K.
4
Tauchen, George Eugene
4
Zakoïan, Jean-Michel
4
Asai, Manabu
3
Aït-Sahalia, Yacine
3
Hallin, Marc
3
Kim, Donggyu
3
Laurent, Sébastien
3
Li, Yingying
3
McAleer, Michael
3
Paolella, Marc S.
3
Patton, Andrew J.
3
Renault, Eric
3
Shephard, Neil G.
3
Violante, Francesco
3
Zhu, Ke
3
Barigozzi, Matteo
2
Bauwens, Luc
2
Bekaert, Geert
2
Bouezmarni, Taoufik
2
Chang, Chia-Lin
2
Gonçalves, Sílvia
2
Kong, Xin-Bing
2
Li, Guodong
2
Li, Jia
2
Li, Wai Keung
2
Linton, Oliver
2
Maheu, John M.
2
Polak, Pawel
2
Sheppard, Kevin
2
Taamouti, Abderrahim
2
Wang, Yazhen
2
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
CORE discussion paper : DP
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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2
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2
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1
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1
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ECONIS (ZBW)
10
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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
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:
3
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:
4
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:
5
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:
6
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
7
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
8
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
9
Realized volatility
Meddahi, Nour
;
Mykland, Per A.
;
Shephard, Neil G.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1
Persistent link: https://www.econbiz.de/10009242567
Saved in:
10
Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour
(
contributor
);
Mykland, Per A.
(
contributor
); …
-
2010
Persistent link: https://www.econbiz.de/10009244600
Saved in:
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