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isPartOf:"Journal of econometrics"
~person:"Boswijk, Herman Peter"
~person:"Chen, Fei"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~subject:"Forecasting model"
~subject:"Market microstructure"
~subject:"Two scales estimation"
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Forecasting model
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Volatility
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Volatilität
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7
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6
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Boswijk, Herman Peter
Chen, Fei
Ghysels, Eric
Mykland, Per A.
Bollerslev, Tim
7
Li, Yingying
5
Patton, Andrew J.
5
Andersen, Torben
4
Aït-Sahalia, Yacine
4
Christensen, Kim
3
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3
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3
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3
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2
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2
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2
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2
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Kalnina, Ilze
2
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2
Meddahi, Nour
2
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2
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Renò, Roberto
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Schorfheide, Frank
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Valkanov, Rossen I.
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Xiu, Dacheng
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Bandi, Federico M.
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
NBER Working Paper
2
NBER working paper series
2
Research paper series / Swiss Finance Institute
2
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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
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ECONIS (ZBW)
10
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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
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
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
Estimating spot volatility with high-frequency financial data
Zu, Yang
;
Boswijk, Herman Peter
- In:
Journal of econometrics
181
(
2014
)
2
,
pp. 117-135
Persistent link: https://www.econbiz.de/10010473332
Saved in:
7
A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
Saved in:
8
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 396-406
Persistent link: https://www.econbiz.de/10009612713
Saved in:
9
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:
10
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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