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isPartOf:"Journal of econometrics"
~isPartOf:"CORE discussion paper : DP"
~person:"Francq, Christian"
~person:"Mykland, Per A."
~person:"Zhou, Hao"
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Search: subject_exact:"Volatility"
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Volatility
16
Volatilität
16
Estimation theory
8
Schätztheorie
8
Capital income
6
Kapitaleinkommen
6
ARCH model
5
ARCH-Modell
5
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Francq, Christian
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
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7
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
Barigozzi, Matteo
4
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
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3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
CORE discussion paper : DP
Finance and economics discussion series
9
Econometric theory
2
Journal of banking & finance
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
16
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1
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:
2
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:
3
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:
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
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
9
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:
10
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 396-406
Persistent link: https://www.econbiz.de/10009612713
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