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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Frederiksen, Per"
~person:"Horváth, Lajos"
~person:"Li, Yingying"
~subject:"ARCH model"
~subject:"realized volatility (RV)"
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Volatility
ARCH model
realized volatility (RV)
Estimation theory
5
Schätztheorie
5
Volatilität
3
ARCH-Modell
2
Bootstrap approach
2
Bootstrap-Verfahren
2
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1
Estimation
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Forecasting model
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Time series analysis
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adequacy test for CCC-GARCH models
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bias-correction
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bootstrap
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diffusion process
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fractional integration
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leverage effect
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market microstructure
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perturbed fractional processes
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quasi-maximum-likelihood estimation
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rounding errors
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self-similarity
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semiparametric estimation
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temporal aggregation
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variance-targeting estimator
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Frederiksen, Per
Horváth, Lajos
Li, Yingying
Francq, Christian
2
Zakoïan, Jean-Michel
2
Andreou, Alena
1
Audrino, Francesco
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Chen, Yi-ting
1
Christoffersen, Peter F.
1
Conrad, Christian A.
1
Di, Jianing
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Haag, Berthold R.
1
Hassler, Uwe
1
Herwartz, Helmut
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Lv, Jinchi
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
Nagakura, Daisuke
1
Nielsen, Morten Ørregaard
1
Nogales, Francisco J.
1
Pelletier, Denis
1
Rodrigues, Paulo M. M.
1
Rubia, Antonio
1
Santos, André A. P.
1
Spokojnyj, Vladimir G.
1
Suto, Nobuyuki
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
5
Econometric theory
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
2
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
3
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
4
Bias-reduced estimation of long-memory stochastic volatility
Frederiksen, Per
;
Nielsen, Morten Ørregaard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 496-512
Persistent link: https://www.econbiz.de/10003778957
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