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isPartOf:"Journal of econometrics"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"Journal of international money and finance"
~person:"Ahmed, Rizwan"
~person:"Ben Omrane, Walid"
~person:"Kim, Donggyu"
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Search: subject_exact:"Volatility"
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Volatility
8
Volatilität
8
Estimation
6
Schätzung
6
Estimation theory
5
Schätztheorie
5
Time series analysis
5
Zeitreihenanalyse
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2001
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Ahmed, Rizwan
Ben Omrane, Walid
Kim, Donggyu
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
Ma, Feng
7
Mykland, Per A.
7
Patton, Andrew J.
7
Asai, Manabu
6
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Shephard, Neil G.
6
Caporale, Guglielmo Maria
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Kanas, Angelos
5
Li, Yingying
5
Liang, Chao
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
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Gallo, Giampiero M.
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Gupta, Rangan
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Jasiak, Joann
4
Li, Xiafei
4
Linton, Oliver
4
Maheu, John M.
4
Neely, Christopher J.
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Park, Joon Y.
4
Rahbek, Anders
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Renault, Eric
4
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Journal of econometrics
International journal of finance & economics : IJFE
Journal of international money and finance
Finance research letters
2
International review of financial analysis
2
KAIST College of Business Working Paper Series
2
KAIST College of Business Working Paper Series No
2
Applied economics
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Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of bonds and derivatives
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of international financial markets, institutions & money
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Research in international business and finance
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
8
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1
Directional predictability from energy markets to exchange rates and stock markets in the emerging market countries (E7 + 1) : new evidence from cross-quantilogram approach
Tiwari, Aviral Kumar
;
Shahbaz, Muhammad
;
Khalfaoui, Rabeh
; …
- In:
International journal of finance & economics : IJFE
29
(
2024
)
1
,
pp. 719-789
Persistent link: https://www.econbiz.de/10014469052
Saved in:
2
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:
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
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:
5
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:
6
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:
7
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:
8
News announcements, market activity and volatility in the euro/dollar foreign exchange market
Bauwens, Luc
;
Ben Omrane, Walid
;
Giot, Pierre
- In:
Journal of international money and finance
24
(
2005
)
7
,
pp. 1180-1125
Persistent link: https://www.econbiz.de/10003210043
Saved in:
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