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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric theory"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~subject:"Capital income"
~subject:"Forecasting model"
~subject:"Liquidität"
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Search: subject_exact:"Volatility"
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Capital income
Forecasting model
Liquidität
Volatility
15
Volatilität
15
Estimation theory
6
Schätztheorie
6
Kapitaleinkommen
5
Market microstructure
5
Marktmikrostruktur
5
Börsenkurs
4
Microstructure
4
Share price
4
Theorie
4
Theory
4
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3
Consistency
3
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3
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3
Noise Trading
3
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3
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3
Robust estimation
3
Time series analysis
3
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ARCH model
2
ARCH-Modell
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Asynchronous times
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Efficiency
2
Equivalent martingale measure
2
Estimation
2
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Liquidity
2
Pre-averaging
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Realized volatility
2
Regression analysis
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Regressionsanalyse
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Robust statistics
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Ghysels, Eric
Mykland, Per A.
Bollerslev, Tim
12
Todorov, Viktor
8
Andersen, Torben
7
Meddahi, Nour
6
Patton, Andrew J.
6
Tauchen, George Eugene
5
Hallin, Marc
4
Aït-Sahalia, Yacine
3
Kim, Donggyu
3
Li, Jia
3
Quaedvlieg, Rogier
3
Renault, Eric
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Zhou, Hao
3
Asai, Manabu
2
Barigozzi, Matteo
2
Bekaert, Geert
2
Engle, Robert F.
2
Fan, Jianqing
2
Li, Yingying
2
McAleer, Michael
2
Paolella, Marc S.
2
Polak, Pawel
2
Renò, Roberto
2
Sheppard, Kevin
2
Valkanov, Rossen I.
2
Varneskov, Rasmus Tangsgaard
2
Wang, Yazhen
2
Zhang, Lan
2
Ahsan, Nazmul
1
Andreou, Elena
1
Archakov, Ilya
1
Bandi, Federico M.
1
Bansal, Ravi
1
Bauer, Gregory H.
1
Bibinger, Markus
1
Blair, Bevan J.
1
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Econometric theory
Working paper / National Bureau of Economic Research, Inc.
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
NBER Working Paper
2
NBER working paper series
2
Research paper series / Swiss Finance Institute
2
Cahier / Département de Sciences Économiques, Université de Montréal
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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1
Journal of the American Statistical Association : JASA
1
Journal of time series econometrics
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The review of financial studies
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ECONIS (ZBW)
9
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1
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:
2
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:
3
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:
4
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:
5
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:
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
Realized volatility
Meddahi, Nour
;
Mykland, Per A.
;
Shephard, Neil G.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1
Persistent link: https://www.econbiz.de/10009242567
Saved in:
8
Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour
(
contributor
);
Mykland, Per A.
(
contributor
); …
-
2010
Persistent link: https://www.econbiz.de/10009244600
Saved in:
9
Predicting volatility: getting the most out of return data sampled at different frequencies
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
Saved in:
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