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isPartOf:"Journal of econometrics"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"Journal of forecasting"
~person:"Bollerslev, Tim"
~person:"Mykland, Per A."
~person:"Rose, Andrew"
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Search: subject_exact:"Volatility"
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Volatility
33
Volatilität
33
Capital income
13
Kapitaleinkommen
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Theorie
10
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10
Estimation
9
Schätzung
9
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Bollerslev, Tim
Mykland, Per A.
Rose, Andrew
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Ghysels, Eric
8
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Marcellino, Massimiliano
7
Patton, Andrew J.
7
Asai, Manabu
6
Cavaliere, Giuseppe
6
Fernández-Villaverde, Jesús
6
Kim, Donggyu
6
Lettau, Martin
6
Rubio-Ramírez, Juan Francisco
6
Shephard, Neil G.
6
So, Mike Ka-pui
6
Bekaert, Geert
5
Carriero, Andrea
5
Clark, Todd E.
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Guerrón-Quintana, Pablo A.
5
Hale, Galina
5
Hallin, Marc
5
Kilian, Lutz
5
Li, Yingying
5
Ludvigson, Sydney C.
5
Maheu, John M.
5
Ploeg, Frederick van der
5
Razin, Asaf
5
Sarno, Lucio
5
Taylor, Robert
5
Tong, Hui
5
Wang, Yudong
5
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Discussion paper / Centre for Economic Policy Research
Journal of forecasting
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16
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3
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ECONIS (ZBW)
33
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
2
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
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
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
5
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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
Risk everywhere : modeling and managing volatility
Bollerslev, Tim
;
Hood, Benjamin
;
Huss, John
;
Pedersen, …
-
2018
Persistent link: https://www.econbiz.de/10011884274
Saved in:
8
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:
9
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
10
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
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