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person:"Bollerslev, Tim"
subject:"Volatility"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~person:"Hafner, Christian M."
~person:"Wang, Yazhen"
~subject:"CAPM"
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Volatility
CAPM
Estimation theory
16
Schätztheorie
16
Time series analysis
10
Volatilität
10
Zeitreihenanalyse
10
Estimation
8
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Bollerslev, Tim
Hafner, Christian M.
Wang, Yazhen
Todorov, Viktor
10
Andersen, Torben
7
Li, Jia
7
Tauchen, George Eugene
7
Francq, Christian
6
Kim, Donggyu
6
Li, Yingying
5
Mykland, Per A.
5
Ghysels, Eric
4
Varneskov, Rasmus Tangsgaard
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Bandi, Federico M.
3
Hautsch, Nikolaus
3
Jing, Bingyi
3
Koopman, Siem Jan
3
Meddahi, Nour
3
Park, Joon Y.
3
Potiron, Yoann
3
Shephard, Neil G.
3
Yang, Xiye
3
Zhang, Lan
3
Zhang, Zhiyuan
3
Zu, Yang
3
Andreou, Elena
2
Bauwens, Luc
2
Bibinger, Markus
2
Boswijk, Herman Peter
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Chen, Song Xi
2
Clinet, Simon
2
Engle, Robert F.
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grammig, Joachim
2
Grynkiv, Iaryna
2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
CORE discussion papers : DP
2
CORE discussion paper : DP
1
Contributions to economics
1
Discussion papers of interdisciplinary research project 373
1
Econometric theory
1
Econometrics : open access journal
1
Economics letters
1
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1
Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren : Ergebnisse des 5. Karlsruher Ökonometrie-Workshops
1
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Journal of applied econometrics
1
Journal of political economy
1
KAIST College of Business Working Paper Series
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KAIST College of Business Working Paper Series No
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The review of economics and statistics
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ECONIS (ZBW)
11
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu
;
Kong, Xin-Bing
;
Li, Cui-Xia
;
Wang, Yazhen
- In:
Journal of econometrics
203
(
2018
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
Saved in:
8
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:
9
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu
;
Wang, Yazhen
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
Saved in:
10
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
Saved in:
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