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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~person:"Hafner, Christian M."
~person:"Koopman, Siem Jan"
~person:"Maheswaran, S."
~subject:"Foreign exchange market"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Estimation theory"
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Volatility
Foreign exchange market
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Estimation theory
29
Schätztheorie
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Time series analysis
15
Zeitreihenanalyse
15
Volatilität
13
Börsenkurs
7
Capital income
7
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Maximum likelihood estimation
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Bollerslev, Tim
Hafner, Christian M.
Koopman, Siem Jan
Maheswaran, S.
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Marcellino, Massimiliano
8
Andersen, Torben
6
Cai, Zongwu
6
Kim, Donggyu
6
Li, Yingying
6
Mykland, Per A.
6
Sbrana, Giacomo
6
Shang, Han Lin
6
Tauchen, George Eugene
6
Zhang, Xinyu
6
Clark, Todd E.
5
Demetrescu, Matei
5
Francq, Christian
5
Koop, Gary
5
Liu, Zhi
5
Taylor, James W.
5
Taylor, Robert
5
Teräsvirta, Timo
5
Wang, Shouyang
5
Bauwens, Luc
4
Fosten, Jack
4
Kapetanios, George
4
Lee, Ji Hyung
4
Mancino, Maria Elvira
4
Rodrigues, Paulo M. M.
4
Sentana, Enrique
4
Shi, Yanlin
4
Sucarrat, Genaro
4
Tu, Yundong
4
Varneskov, Rasmus Tangsgaard
4
Wang, Yazhen
4
Wu, Xinyu
4
Xie, Tian
4
Zhang, Lan
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Journal of econometrics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of quantitative economics
2
Econometric reviews
1
Economics letters
1
Financial markets and portfolio management
1
IIMB management review
1
International journal of forecasting
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
16
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1
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:
2
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:
3
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
4
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
5
A study of excess volatility of gold and silver
Kayal, Parthajit
;
Maheswaran, S.
- In:
IIMB management review
33
(
2021
)
2
,
pp. 133-145
Persistent link: https://www.econbiz.de/10013205212
Saved in:
6
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
7
A new unbiased additive robust volatility estimation using extreme values of asset prices
Shaik, Muneer
;
Maheswaran, S.
- In:
Financial markets and portfolio management
34
(
2020
)
3
,
pp. 313-347
Persistent link: https://www.econbiz.de/10012289673
Saved in:
8
Robust volatility estimation with and without the drift parameter
Shaik, Muneer
;
Maheswaran, S.
- In:
Journal of quantitative economics
17
(
2019
)
1
,
pp. 57-91
Persistent link: https://www.econbiz.de/10012418637
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
A new statistic to capture the level dependence in stock price volatility
Padmakumari, Lakshmi
;
Maheswaran, S.
- In:
The quarterly review of economics and finance : journal …
65
(
2017
),
pp. 355-362
Persistent link: https://www.econbiz.de/10011792503
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