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isPartOf:"Journal of econometrics"
~isPartOf:"Journal of international money and finance"
~isPartOf:"Journal of risk and financial management : JRFM"
~person:"Bollerslev, Tim"
~person:"Todorov, Viktor"
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Search: subject_exact:"Volatility"
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Volatility
33
Volatilität
33
Estimation
19
Schätzung
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14
Stochastischer Prozess
14
Capital income
13
Estimation theory
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Bollerslev, Tim
Todorov, Viktor
Tauchen, George Eugene
15
McAleer, Michael
14
Andersen, Torben
12
Aït-Sahalia, Yacine
11
Meddahi, Nour
8
Xiu, Dacheng
8
Ghysels, Eric
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Asai, Manabu
6
Cavaliere, Giuseppe
6
Kim, Donggyu
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Shephard, Neil G.
6
Gallant, A. Ronald
5
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Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Caporin, Massimiliano
4
Chang, Chia-Lin
4
Francq, Christian
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Jasiak, Joann
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Maheu, John M.
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Park, Joon Y.
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Rahbek, Anders
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4
Yu, Jun
4
Zakoïan, Jean-Michel
4
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3
Bandi, Federico M.
3
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3
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Journal of econometrics
Journal of international money and finance
Journal of risk and financial management : JRFM
NBER working paper series
15
NBER Working Paper
12
CREATES research paper
11
ERID working paper
11
Working paper / National Bureau of Economic Research, Inc.
11
Economic Research Initiatives at Duke (ERID) Working Paper
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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
6
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6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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European financial management : the journal of the European Financial Management Association
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ECONIS (ZBW)
33
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
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:
6
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
7
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
8
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:
9
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
10
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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