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isPartOf:"Journal of econometrics"
~person:"Chang, Chia-Lin"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~person:"Tauchen, George Eugene"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
30
Volatilität
30
Börsenkurs
12
Estimation theory
12
Schätztheorie
12
Share price
12
Stochastic process
11
Capital income
10
Kapitaleinkommen
10
Estimation
9
Schätzung
9
Stochastic volatility
9
Theorie
8
Theory
8
Time series analysis
8
Zeitreihenanalyse
8
High-frequency data
6
CAPM
5
Market microstructure
5
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Martingal
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Prognoseverfahren
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Discrete observation
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Financial market
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Finanzmarkt
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Leverage effect
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Noise Trading
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Noise trading
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Option pricing theory
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Chang, Chia-Lin
Ghysels, Eric
Mykland, Per A.
Tauchen, George Eugene
Todorov, Viktor
11
McAleer, Michael
5
Asai, Manabu
4
Bollerslev, Tim
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Clark, Todd E.
3
Li, Jia
3
Marcellino, Massimiliano
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Yu, Jun
3
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Chan, Joshua
2
Chib, Siddhartha
2
Creal, Drew
2
Dufour, Jean-Marie
2
Francq, Christian
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Jensen, Mark J.
2
Kim, Donggyu
2
Maheu, John M.
2
Park, Joon Y.
2
Poon, Aubrey
2
Renault, Eric
2
Renò, Roberto
2
Swanson, Norman R.
2
Varneskov, Rasmus Tangsgaard
2
Wang, Bin
2
Wang, Yazhen
2
Zaffaroni, Paolo
2
Zakoïan, Jean-Michel
2
Zhou, Hao
2
Ahsan, Nazmul
1
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Journal of econometrics
ERID working paper
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Discussion paper / Tinbergen Institute
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
CORE discussion paper : DP
1
Cahier / Département de Sciences Économiques, Université de Montréal
1
Econometric Institute research papers
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economics letters
1
Finance research letters
1
Journal of financial economics
1
Quantitative economics : QE ; journal of the Econometric Society
1
Research paper series / Swiss Finance Institute
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Risks : open access journal
1
SFB 649 discussion paper
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The review of economics and statistics
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ECONIS (ZBW)
11
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1
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
2
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
3
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
4
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
5
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
6
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
7
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
8
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
9
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
10
Risk, jumps and diversification
Bollerslev, Tim
;
Law, Tzuo Hann
;
Tauchen, George Eugene
- In:
Journal of econometrics
144
(
2008
)
1
,
pp. 234-256
Persistent link: https://www.econbiz.de/10003723656
Saved in:
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