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isPartOf:"Journal of econometrics"
~person:"Martin, Gael M."
~person:"Yu, Jun"
~source:"econis"
~subject:"Bayesian inference"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Bayesian inference
Stochastischer Prozess
Volatility
6
Volatilität
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Stochastic process
4
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Theorie
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Theory
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Forecasting model
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CAPM
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Capital income
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Estimation theory
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Fractional Ornstein-Uhlenbeck process
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Hurst parameter
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Kapitaleinkommen
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Long memory
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Microstructure noise
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Monte Carlo simulation
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Nonparametric jump measures
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Martin, Gael M.
Yu, Jun
Todorov, Viktor
11
Tauchen, George Eugene
8
McAleer, Michael
5
Asai, Manabu
4
Bollerslev, Tim
4
Andersen, Torben
3
Aït-Sahalia, Yacine
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Carriero, Andrea
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Clark, Todd E.
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Li, Jia
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Marcellino, Massimiliano
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Shephard, Neil G.
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Xiu, Dacheng
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Amengual, Dante
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Bondarenko, Oleg
2
Boswijk, Herman Peter
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Chang, Chia-Lin
2
Chib, Siddhartha
2
Creal, Drew
2
Dufour, Jean-Marie
2
Forbes, Catherine Scipione
2
Francq, Christian
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Fusari, Nicola
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Gallant, A. Ronald
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Grynkiv, Iaryna
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Jensen, Mark J.
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Kim, Donggyu
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Maheu, John M.
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Park, Joon Y.
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Petrova, Katerina
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Poon, Aubrey
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Renault, Eric
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Swanson, Norman R.
2
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2
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Journal of econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
16
Working paper series / Department of Economics, Auckland Business School, The University of Auckland
5
Econometric reviews
3
Global COE Hi-Stat discussion paper series
2
Working paper
2
Annals of economics and finance
1
Cowles Foundation discussion paper
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The econometrics journal
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ECONIS (ZBW)
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1
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
2
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
3
Probabilistic forecasts of volatility and its risk premia
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 217-236
Persistent link: https://www.econbiz.de/10009691156
Saved in:
4
A semiparametric stochastic volatility model
Yu, Jun
- In:
Journal of econometrics
167
(
2012
)
2
,
pp. 473-482
Persistent link: https://www.econbiz.de/10009613920
Saved in:
5
On leverage in a stochastic volatility model
Yu, Jun
- In:
Journal of econometrics
127
(
2005
)
2
,
pp. 165-178
Persistent link: https://www.econbiz.de/10002905096
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