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isPartOf:"Journal of econometrics"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~person:"Bollerslev, Tim"
~subject:"ARCH-Modell"
~subject:"Estimation theory"
~subject:"Statistische Verteilung"
~subject:"United States"
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Search: subject_exact:"Volatility"
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ARCH-Modell
Estimation theory
Statistische Verteilung
United States
Volatility
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19
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8
Estimation
8
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8
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Bollerslev, Tim
Todorov, Viktor
12
Andersen, Torben
7
Tauchen, George Eugene
7
Gupta, Rangan
6
Li, Jia
6
Bouri, Elie
5
Kim, Donggyu
5
Li, Yingying
5
McAleer, Michael
5
Meddahi, Nour
5
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4
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4
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4
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3
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3
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3
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3
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3
Jasiak, Joann
3
Linton, Oliver
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Malik, Farooq
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Paolella, Marc S.
3
Park, Joon Y.
3
Salisu, Afees A.
3
Swanson, Norman R.
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Varneskov, Rasmus Tangsgaard
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3
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3
Amengual, Dante
2
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2
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2
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Journal of econometrics
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
NBER working paper series
4
Working paper / National Bureau of Economic Research, Inc.
4
CREATES research paper
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Finance and economics discussion series
3
NBER Working Paper
3
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3
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
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:
2
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:
3
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
Saved in:
4
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
5
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
6
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
7
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
8
Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
9
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise : theory and testable distributional implications
Andersen, Torben
;
Bollerslev, Tim
;
Dobrev, Dobrislav
- In:
Journal of econometrics
138
(
2007
)
1
,
pp. 125-180
Persistent link: https://www.econbiz.de/10003451756
Saved in:
10
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
109
(
2002
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
Saved in:
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