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isPartOf:"Journal of econometrics"
~person:"Hounyo, Ulrich"
~person:"Kim, Donggyu"
~person:"Medeiros, Marcelo C."
~subject:"Forecasting model"
~subject:"Time series analysis"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Forecasting model
Time series analysis
Zeitreihenanalyse
Volatility
10
Volatilität
10
Estimation
7
Schätzung
7
Börsenkurs
6
Estimation theory
6
Schätztheorie
6
Share price
6
High-frequency data
4
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4
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4
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3
ARCH-Modell
3
Market microstructure
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POET
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GARCH
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Low-rank matrix
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Mathematical analysis
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Stochastic differential equation
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Stochastischer Prozess
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1
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Hounyo, Ulrich
Kim, Donggyu
Medeiros, Marcelo C.
Bollerslev, Tim
8
Todorov, Viktor
7
Andersen, Torben
6
Li, Jia
6
Patton, Andrew J.
6
Tauchen, George Eugene
6
Li, Yingying
5
Hallin, Marc
4
McAleer, Michael
4
Barigozzi, Matteo
3
Fan, Jianqing
3
Francq, Christian
3
Ghysels, Eric
3
Kong, Xin-Bing
3
Meddahi, Nour
3
Quaedvlieg, Rogier
3
Taylor, Robert
3
Wang, Yazhen
3
Zakoïan, Jean-Michel
3
Zhou, Hao
3
Asai, Manabu
2
Aït-Sahalia, Yacine
2
Boswijk, Herman Peter
2
Carriero, Andrea
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Christensen, Kim
2
Clark, Todd E.
2
Clinet, Simon
2
Corsi, Fulvio
2
Diebold, Francis X.
2
Ergemen, Yunus Emre
2
Forbes, Catherine Scipione
2
Li, Guodong
2
Li, Wai Keung
2
Liu, Zhi
2
Maneesoonthorn, Worapree
2
Marcellino, Massimiliano
2
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Journal of econometrics
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
6
Econometric Institute research papers
3
Working paper
3
CREATES research paper
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations
2
Econometric reviews
1
Econometric theory
1
Econometrics : open access journal
1
IDEI working papers
1
Journal of banking & finance
1
Journal of economic surveys
1
Journal of financial markets
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KAIST College of Business Working Paper Series
1
KAIST College of Business Working Paper Series No
1
Quantitative economics : QE ; journal of the Econometric Society
1
Revista Brasileira de Finanças : RBFin
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Texto para discussão
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The econometrics journal
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ECONIS (ZBW)
9
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1
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
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
3
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:
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
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
6
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
7
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
8
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
9
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
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