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isPartOf:"Journal of econometrics"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~person:"Bacchetta, Philippe"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~subject:"Marktmikrostruktur"
~subject:"Theory"
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Marktmikrostruktur
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Volatility
18
Volatilität
18
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6
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6
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6
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5
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5
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Bacchetta, Philippe
Ghysels, Eric
Mykland, Per A.
Bollerslev, Tim
9
Andersen, Torben
7
Aït-Sahalia, Yacine
7
Li, Yingying
5
Todorov, Viktor
5
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4
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Meddahi, Nour
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3
Della Corte, Pasquale
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3
Patton, Andrew J.
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Sarno, Lucio
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Journal of econometrics
Discussion paper / Centre for Economic Policy Research
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
NBER Working Paper
3
NBER working paper series
3
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Capital flows and the emerging economies : theory, evidence, and controversies ; [a National Bureau of Economic Research conference report]
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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
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The Asian financial crisis : causes, contagion and consequences
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ECONIS (ZBW)
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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
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:
3
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:
4
Factor analysis with large panels volatility proxies
Ghysels, Eric
-
2014
Persistent link: https://www.econbiz.de/10010382083
Saved in:
5
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
Saved in:
6
Volatility forecasting and microstructure noise
Ghysels, Eric
;
Sinko, Arthur
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
Saved in:
7
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
8
Capital markets and the instability of open economies
Aghion, Philippe
;
Bacchetta, Philippe
;
Banerjee, Abhijit V.
-
1999
Persistent link: https://www.econbiz.de/10013422751
Saved in:
9
Capital flows to emerging markets : liberalization, overshooting and volatility
Bacchetta, Philippe
;
Van Wincoop, Eric
-
1998
Persistent link: https://www.econbiz.de/10013422538
Saved in:
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