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isPartOf:"Journal of econometrics"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~person:"Renault, Eric"
~subject:"Efficiency"
~subject:"Forecasting model"
~subject:"Schätztheorie"
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Search: subject_exact:"Volatility"
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Efficiency
Forecasting model
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Volatility
17
Volatilität
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Capital income
8
Kapitaleinkommen
8
Theorie
7
Theory
7
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5
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5
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Ghysels, Eric
Mykland, Per A.
Renault, Eric
Todorov, Viktor
10
Tauchen, George Eugene
8
Andersen, Torben
7
Bollerslev, Tim
7
Li, Jia
7
Patton, Andrew J.
6
Kim, Donggyu
5
Li, Yingying
5
Aït-Sahalia, Yacine
4
Francq, Christian
4
Meddahi, Nour
4
Zakoïan, Jean-Michel
4
Barigozzi, Matteo
3
Hallin, Marc
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Xiu, Dacheng
3
Zhang, Lan
3
Zhou, Hao
3
Andreou, Elena
2
Carriero, Andrea
2
Clark, Todd E.
2
Clinet, Simon
2
Fan, Jianqing
2
Forbes, Catherine Scipione
2
Gallant, A. Ronald
2
Gallo, Giampiero M.
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Laurent, Sébastien
2
Li, Guodong
2
Li, Wai Keung
2
Maheu, John M.
2
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Econometric theory
2
Research paper series / Swiss Finance Institute
2
Discussion paper / Centre for Economic Policy Research
1
Documents de travail / THEMA
1
Econometric analysis of financial and economic time series ; part a
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
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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
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:
7
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:
8
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
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