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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Reviews"
~isPartOf:"Econometric analysis of financial and economic time series ; part a"
~person:"Ghysels, Eric"
~person:"Kim, Donggyu"
~person:"Zakoïan, Jean-Michel"
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Search: subject_exact:"Volatility"
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Volatility
18
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17
Estimation theory
11
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10
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10
Börsenkurs
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Share price
9
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Ghysels, Eric
Kim, Donggyu
Zakoïan, Jean-Michel
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
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
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Li, Yingying
5
Taylor, Robert
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Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
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Jasiak, Joann
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Linton, Oliver
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Maheu, John M.
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Park, Joon Y.
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Rahbek, Anders
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Renault, Eric
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Renò, Roberto
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Yu, Jun
4
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3
Bandi, Federico M.
3
Calvet, Laurent E.
3
Caporin, Massimiliano
3
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3
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3
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Journal of econometrics
Econometric Reviews
Econometric analysis of financial and economic time series ; part a
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
3
CIRANO Working Papers
2
Discussion paper / Centre for Economic Policy Research
2
KAIST College of Business Working Paper Series
2
KAIST College of Business Working Paper Series No
2
Research paper series / Swiss Finance Institute
2
Studies in Nonlinear Dynamics & Econometrics
2
Working paper / National Bureau of Economic Research, Inc.
2
Annals of economics and statistics
1
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1
Cahier / Département de Sciences Économiques, Université de Montréal
1
Discussion papers / CEPR
1
Econometric reviews
1
Econometric theory
1
Econometrics : open access journal
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial economics
1
Journal of risk and financial management : JRFM
1
Journal of time series econometrics
1
Kenan Institute of Private Enterprise Research Paper
1
NBER Working Paper
1
NBER working paper series
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Staff Report
1
Staff reports / Federal Reserve Bank of New York
1
Statistical methods in finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Swiss Finance Institute Research Paper
1
Série des documents de travail
1
The review of economics and statistics
1
The review of financial studies
1
Tools and techniques
1
University of Cyprus Working Papers in Economics
1
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ECONIS (ZBW)
17
RePEc
1
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1
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
2
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:
3
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
4
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:
5
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
6
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
7
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:
8
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:
9
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
10
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
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