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person:"Bollerslev, Tim"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Bandi, Federico M."
~person:"Croux, Christophe"
~person:"Hafner, Christian M."
~subject:"CAPM"
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Volatility
CAPM
Estimation theory
13
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13
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4
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4
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Bollerslev, Tim
Bandi, Federico M.
Croux, Christophe
Hafner, Christian M.
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Francq, Christian
6
Li, Jia
6
Li, Yingying
6
Kim, Donggyu
5
Mykland, Per A.
5
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5
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3
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3
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3
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3
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3
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2
Engle, Robert F.
2
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Gouriéroux, Christian
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Xiu, Dacheng
2
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
KBI
4
CORE discussion papers : DP
2
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Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren : Ergebnisse des 5. Karlsruher Ökonometrie-Workshops
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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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
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:
3
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:
4
Outlyingness weighted covariation
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 657-684
Persistent link: https://www.econbiz.de/10009407333
Saved in:
5
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:
6
Realized volatility forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
Saved in:
7
On the functional estimation of jump-diffusion models
Bandi, Federico M.
;
Nguyen, Thong H.
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 293-328
Persistent link: https://www.econbiz.de/10001772153
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