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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:"Koopman, Siem Jan"
~subject:"Foreign exchange market"
~subject:"Metallmarkt"
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Volatility
Foreign exchange market
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Estimation theory
16
Schätztheorie
16
Time series analysis
9
Zeitreihenanalyse
9
Volatilität
7
Estimation
4
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4
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Statistical distribution
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1989-1991
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Bollerslev, Tim
Koopman, Siem Jan
Todorov, Viktor
10
Andersen, Torben
7
Li, Jia
7
Tauchen, George Eugene
7
Kim, Donggyu
6
Francq, Christian
5
Li, Yingying
5
Mykland, Per A.
5
Wang, Yazhen
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Ghysels, Eric
3
Hautsch, Nikolaus
3
Jing, Bingyi
3
Meddahi, Nour
3
Park, Joon Y.
3
Potiron, Yoann
3
Shephard, Neil G.
3
Varneskov, Rasmus Tangsgaard
3
Yang, Xiye
3
Zhang, Lan
3
Zhang, Zhiyuan
3
Zu, Yang
3
Andreou, Elena
2
Bandi, Federico M.
2
Bauwens, Luc
2
Bibinger, Markus
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Boswijk, Herman Peter
2
Clinet, Simon
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Fan, Jianqing
2
Gallant, A. Ronald
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Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Discussion paper / Tinbergen Institute
10
A history of market performance : from ancient Babylonia to the modern world
1
Discussion paper / Department of Economics, University of California San Diego
1
Discussion paper series / LSE Financial Markets Group
1
Econometric reviews
1
Handbook of econometrics : volume 4
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Handbook of financial time series
1
International finance discussion papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of international money and finance
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The review of economic studies
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The review of economics and statistics
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Tinbergen Institute Discussion Paper 09-110/4
1
Tinbergen Institute Discussion Paper 20-004/III
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Tinbergen Institute Discussion Paper 2018-013/III
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Tinbergen Institute Discussion Paper 2018-027/III
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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
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:
5
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:
6
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
Saved in:
7
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Sandmann, Gleb
- In:
Journal of econometrics
87
(
1998
)
2
,
pp. 271-301
Persistent link: https://www.econbiz.de/10001246644
Saved in:
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