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isPartOf:"Journal of econometrics"
~person:"Linton, Oliver"
~person:"Quaedvlieg, Rogier"
~person:"Todorov, Viktor"
~subject:"Stock index"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Stock index
Zeitreihenanalyse
Volatility
24
Volatilität
24
Estimation
15
Schätzung
15
Estimation theory
12
Schätztheorie
12
Stochastic process
12
Stochastischer Prozess
12
Capital income
10
Kapitaleinkommen
10
Time series analysis
10
High-frequency data
9
Börsenkurs
8
Share price
8
Nichtparametrisches Verfahren
6
Nonparametric statistics
6
Stochastic volatility
6
Option pricing theory
5
Optionspreistheorie
5
Theorie
5
Theory
5
ARCH model
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ARCH-Modell
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Aktienindex
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Martingal
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Factor analysis
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Induktive Statistik
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Jumps
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English
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Linton, Oliver
Quaedvlieg, Rogier
Todorov, Viktor
Andersen, Torben
6
Bollerslev, Tim
6
Li, Jia
6
Tauchen, George Eugene
6
Kim, Donggyu
5
Li, Yingying
5
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
Barigozzi, Matteo
3
Fan, Jianqing
3
Kong, Xin-Bing
3
Taylor, Robert
3
Wang, Yazhen
3
Asai, Manabu
2
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Christensen, Kim
2
Clinet, Simon
2
Corsi, Fulvio
2
Ergemen, Yunus Emre
2
Francq, Christian
2
Hounyo, Ulrich
2
Li, Guodong
2
Li, Wai Keung
2
Liu, Zhi
2
Meddahi, Nour
2
Medeiros, Marcelo C.
2
Mykland, Per A.
2
Petrova, Katerina
2
Podolskij, Mark
2
Poon, Aubrey
2
Potiron, Yoann
2
Shephard, Neil G.
2
Sheppard, Kevin
2
Thyrsgaard, Martin
2
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Journal of econometrics
Economic Research Initiatives at Duke (ERID) Working Paper
5
Cambridge working papers in economics
4
ERID working paper
4
CREATES research paper
3
Cambridge-INET working papers
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
CEMMAP working papers / Centre for Microdata Methods and Practice
2
CREATES Research Paper
2
Discussion paper series / LSE Financial Markets Group
1
Econometric theory
1
International financial forecasting
1
International journal of forecasting
1
Janeway Institute working paper series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Quantitative economics : QE ; journal of the Econometric Society
1
SFB 649 discussion paper
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
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ECONIS (ZBW)
14
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
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:
4
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
5
A coupled component DCS-EGARCH model for intraday and overnight volatility
Linton, Oliver
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 176-201
Persistent link: https://www.econbiz.de/10012482745
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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
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