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isPartOf:"Journal of econometrics"
~person:"Fan, Jianqing"
~person:"Li, Wai Keung"
~person:"Quaedvlieg, Rogier"
~subject:"Market microstructure"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Market microstructure
Zeitreihenanalyse
Volatility
8
Volatilität
8
Time series analysis
7
Estimation theory
5
Schätztheorie
5
ARCH model
4
ARCH-Modell
4
Estimation
4
Forecasting model
4
Prognoseverfahren
4
Schätzung
4
High-frequency data
3
Factor analysis
2
Factor model
2
Faktorenanalyse
2
POET
2
Realized volatility
2
Sparsity
2
ARCH(∞)
1
Analysis of variance
1
Asymmetric dependence
1
Asymmetric power GARCH
1
Asymmetry testing
1
Börsenkurs
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Capital income
1
Correlation
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Factor models
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Finanzmarkt
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Forecasting
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GARCH
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HAR
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High dimensionality
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Hyperbolic GARCH
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Fan, Jianqing
Li, Wai Keung
Quaedvlieg, Rogier
Andersen, Torben
7
Todorov, Viktor
7
Li, Jia
6
Bollerslev, Tim
5
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
5
Tauchen, George Eugene
5
Aït-Sahalia, Yacine
4
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
Barigozzi, Matteo
3
Christensen, Kim
3
Kong, Xin-Bing
3
Meddahi, Nour
3
Taylor, Robert
3
Wang, Yazhen
3
Asai, Manabu
2
Bibinger, Markus
2
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Clinet, Simon
2
Dijk, Dick van
2
Ergemen, Yunus Emre
2
Francq, Christian
2
Hounyo, Ulrich
2
Li, Guodong
2
Linton, Oliver
2
Liu, Zhi
2
Medeiros, Marcelo C.
2
Petrova, Katerina
2
Podolskij, Mark
2
Poon, Aubrey
2
Potiron, Yoann
2
Shephard, Neil G.
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
ERID working paper
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economies : open access journal
1
Journal of financial economics
1
Journal of forecasting
1
KAIST College of Business Working Paper Series No
1
Quantitative finance
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
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ECONIS (ZBW)
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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:
2
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
3
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:
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
A new hyperbolic GARCH model
Li, Muyi
;
Li, Wai Keung
;
Li, Guodong
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 428-436
Persistent link: https://www.econbiz.de/10011504608
Saved in:
7
Risks of large portfolios
Fan, Jianqing
;
Liao, Yuan
;
Shi, Xiaofeng
- In:
Journal of econometrics
186
(
2015
)
2
,
pp. 367-387
Persistent link: https://www.econbiz.de/10011349458
Saved in:
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