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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~person:"Francq, Christian"
~person:"Wang, Yazhen"
~subject:"Share price"
~subject:"Theory"
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Estimation theory
21
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Bollerslev, Tim
Francq, Christian
Wang, Yazhen
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Kim, Donggyu
6
Li, Yingying
6
Maheswaran, S.
6
Mykland, Per A.
6
Tauchen, George Eugene
6
Andersen, Torben
5
Liu, Zhi
5
Sentana, Enrique
5
Abadie, Alberto
4
Mancino, Maria Elvira
4
Marcellino, Massimiliano
4
Rodrigues, Paulo M. M.
4
Schorfheide, Frank
4
Sucarrat, Genaro
4
Teräsvirta, Timo
4
Varneskov, Rasmus Tangsgaard
4
Wu, Xinyu
4
Zhang, Lan
4
Amengual, Dante
3
Bauwens, Luc
3
Brownlees, Christian
3
Buccheri, Giuseppe
3
Canova, Fabio
3
Clements, Adam
3
De Loecker, Jan
3
Demetrescu, Matei
3
Imbens, Guido
3
Inoue, Atsushi
3
Jing, Bingyi
3
Kayal, Parthajit
3
Kim, Jong-Min
3
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3
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Journal of econometrics
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Econometric theory
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
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1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
2
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
3
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
4
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
5
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
6
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:
7
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
8
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
9
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
10
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
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