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isPartOf:"Journal of econometrics"
~person:"Quaedvlieg, Rogier"
~person:"Renault, Eric"
~subject:"Korrelation"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Korrelation
Volatility
Zeitreihenanalyse
Volatilität
7
Capital income
4
Kapitaleinkommen
4
Theorie
4
Theory
4
ARCH model
2
ARCH-Modell
2
Estimation
2
Forecasting model
2
High-frequency data
2
Prognoseverfahren
2
Realized volatility
2
Schätzung
2
Stochastic process
2
Stochastischer Prozess
2
Time series analysis
2
Affine pricing models
1
Aggregation
1
Analysis of variance
1
Asymmetric dependence
1
CAPM
1
Capital structure
1
Causality analysis
1
Correlation
1
Estimation theory
1
Forecasting
1
HAR
1
HARQ
1
Identification
1
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1
Kausalanalyse
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Leverage effect
1
Market microstructure
1
Marktmikrostruktur
1
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1
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Quaedvlieg, Rogier
Renault, Eric
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Francq, Christian
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
3
Christensen, Kim
3
Clark, Todd E.
3
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Journal of econometrics
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Discussion paper / Center for Economic Research, Tilburg University
2
Econometric theory
2
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
2
Annals of finance
1
CORE discussion paper : DP
1
CREATES research paper
1
Documents de travail / THEMA
1
ERID working paper
1
Econometric reviews
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economics letters
1
Handbook of financial time series
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Quantitative economics : QE ; journal of the Econometric Society
1
Statistical methods in finance
1
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
1
The review of economic studies : RES
1
Tools and techniques
1
Working papers / Penn Institute for Economic Research
1
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ECONIS (ZBW)
7
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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
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
5
Causality effects in return volatility measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
Saved in:
6
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René
;
Lewis, Marc-André
;
Pastorello, Sergio
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
Saved in:
7
Temporal aggregation of volatility models
Meddahi, Nour
;
Renault, Eric
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
Saved in:
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