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isPartOf:"Journal of econometrics"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~person:"Andersen, Torben"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~person:"Renault, Eric"
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Search: subject_exact:"Volatility"
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Volatility
31
Volatilität
31
Capital income
13
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Estimation theory
12
Schätztheorie
12
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Andersen, Torben
Ghysels, Eric
Mykland, Per A.
Renault, Eric
Bollerslev, Tim
20
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Marcellino, Massimiliano
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Fernández-Villaverde, Jesús
6
Kim, Donggyu
6
Lettau, Martin
6
Rose, Andrew
6
Rubio-Ramírez, Juan Francisco
6
Shephard, Neil G.
6
Asai, Manabu
5
Bekaert, Geert
5
Carriero, Andrea
5
Clark, Todd E.
5
Gallant, A. Ronald
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Gouriéroux, Christian
5
Guerrón-Quintana, Pablo A.
5
Hale, Galina
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Hallin, Marc
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Kilian, Lutz
5
Li, Yingying
5
Ludvigson, Sydney C.
5
Ploeg, Frederick van der
5
Razin, Asaf
5
Sarno, Lucio
5
Taylor, Robert
5
Tong, Hui
5
Wolff, Christiaan Cornelis Petrus
5
Zhou, Hao
5
Barigozzi, Matteo
4
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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
Working paper / National Bureau of Economic Research, Inc.
18
CREATES research paper
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
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ECONIS (ZBW)
31
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
4
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
5
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:
6
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:
7
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
8
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:
9
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
10
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
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