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isPartOf:"Journal of econometrics"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~person:"Clark, Todd E."
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
Volatility
17
Volatilität
17
Estimation theory
7
Schätztheorie
7
Capital income
6
Kapitaleinkommen
6
Market microstructure
6
Marktmikrostruktur
6
Börsenkurs
4
Forecasting model
4
Microstructure
4
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Stochastic process
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Stochastischer Prozess
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Theory
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VAR model
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VAR-Modell
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Clark, Todd E.
Ghysels, Eric
Mykland, Per A.
Todorov, Viktor
9
Li, Jia
8
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Yingying
6
Bollerslev, Tim
5
Kim, Donggyu
5
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
Barigozzi, Matteo
3
Fan, Jianqing
3
Kong, Xin-Bing
3
Meddahi, Nour
3
Taylor, Robert
3
Wang, Yazhen
3
Zheng, Xinghua
3
Asai, Manabu
2
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Christensen, Kim
2
Clinet, Simon
2
Ergemen, Yunus Emre
2
Francq, Christian
2
Hounyo, Ulrich
2
Jacod, Jean
2
Li, Guodong
2
Li, Wai Keung
2
Liu, Zhi
2
Medeiros, Marcelo C.
2
Petrova, Katerina
2
Podolskij, Mark
2
Poon, Aubrey
2
Potiron, Yoann
2
Quaedvlieg, Rogier
2
Shephard, Neil G.
2
Sheppard, Kevin
2
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2
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Journal of econometrics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Discussion papers / CEPR
2
Federal Reserve Bank of Cleveland working paper series
2
Discussion paper
1
Econometric theory
1
FRB of Cleveland Working Paper
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Norges Bank Working Paper 2012/09
1
Research paper series / Swiss Finance Institute
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
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ECONIS (ZBW)
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1
Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
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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
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
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