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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric theory"
~person:"Ghysels, Eric"
~person:"Hallin, Marc"
~person:"Mykland, Per A."
~person:"Patton, Andrew J."
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Search: subject_exact:"Volatility"
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Volatility
27
Volatilität
27
Forecasting model
11
Prognoseverfahren
11
Time series analysis
11
Zeitreihenanalyse
11
Theorie
10
Theory
10
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Ghysels, Eric
Hallin, Marc
Mykland, Per A.
Patton, Andrew J.
Bollerslev, Tim
19
Todorov, Viktor
18
Tauchen, George Eugene
16
Andersen, Torben
13
Aït-Sahalia, Yacine
11
McAleer, Michael
10
Li, Jia
9
Meddahi, Nour
9
Cavaliere, Giuseppe
8
Taylor, Robert
8
Xiu, Dacheng
8
Kim, Donggyu
6
Li, Yingying
6
Linton, Oliver
6
Renault, Eric
6
Renò, Roberto
6
Shephard, Neil G.
6
Asai, Manabu
5
Francq, Christian
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Park, Joon Y.
5
Zhou, Hao
5
Bandi, Federico M.
4
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Gonçalves, Sílvia
4
Hounyo, Ulrich
4
Jasiak, Joann
4
Maheu, John M.
4
Rahbek, Anders
4
Wang, Yazhen
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Zhang, Lan
4
Calvet, Laurent E.
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Econometric theory
ECARES working paper
8
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
4
Handbook of financial time series
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1
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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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Forecasting volatility in the financial markets
1
Handbook of economic forecasting ; Volume 2B
1
International journal of forecasting
1
Journal of applied econometrics
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Journal of risk and financial management : JRFM
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Journal of the American Statistical Association : JASA
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Journal of time series econometrics
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ECONIS (ZBW)
27
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1
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:
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
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
4
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:
5
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:
6
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:
7
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
8
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:
9
Asymptotic inference about predictive accuracy using high frequency data
Li, Jia
;
Patton, Andrew J.
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 223-240
Persistent link: https://www.econbiz.de/10011974659
Saved in:
10
R-estimation in semiparametric dynamic location-scale models
Hallin, Marc
;
La Vecchia, Davide
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 222-247
Persistent link: https://www.econbiz.de/10011818285
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