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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Aït-Sahalia, Yacine"
~person:"Gao, Jiti"
~person:"Rodriguez, Gabriel"
~subject:"Börsenkurs"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Estimation theory
74
Schätztheorie
74
Nichtparametrisches Verfahren
23
Nonparametric statistics
23
Time series analysis
23
Zeitreihenanalyse
23
Estimation
21
Schätzung
21
Volatilität
14
Panel
12
Panel study
12
Theorie
11
Theory
11
Regression analysis
8
Regressionsanalyse
8
Capital income
7
Kapitaleinkommen
7
Stochastic process
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Stochastischer Prozess
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Forecasting model
5
Prognoseverfahren
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Share price
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Statistical distribution
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Statistical test
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Statistische Verteilung
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Statistischer Test
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Wechselkurs
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Asymptotic theory
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Bayes-Statistik
4
Bayesian inference
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Market microstructure
4
Marktmikrostruktur
4
Maximum likelihood estimation
4
Maximum-Likelihood-Schätzung
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3
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Bollerslev, Tim
Aït-Sahalia, Yacine
Gao, Jiti
Rodriguez, Gabriel
Kumar, Dilip
16
Maheswaran, S.
15
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Francq, Christian
8
Teräsvirta, Timo
8
Andersen, Torben
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Zakoïan, Jean-Michel
7
Ghysels, Eric
6
Koopman, Siem Jan
6
Taylor, Stephen
6
Wang, Yazhen
6
Bauwens, Luc
5
Engle, Robert F.
5
Faff, Robert W.
5
Fan, Jianqing
5
Fornari, Fabio
5
Hafner, Christian M.
5
Jing, Bingyi
5
Li, Wai Keung
5
Nolte, Ingmar
5
Shephard, Neil G.
5
Zhang, Lan
5
Arnerić, Josip
4
Clements, Adam
4
Daníelsson, Jón
4
Elliott, Robert J.
4
Fičura, Milan
4
Hwang, Eunju
4
Härdle, Wolfgang
4
Kunitomo, Naoto
4
Linton, Oliver
4
Mancino, Maria Elvira
4
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Journal of econometrics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Cambridge working papers in economics
1
Economic modelling
1
International journal of monetary economics and finance
1
Journal of the American Statistical Association : JASA
1
Review of Pacific Basin financial markets and policies
1
Revista de análisis económico
1
The review of economics and statistics
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ECONIS (ZBW)
15
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1
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Rodriguez, Gabriel
;
Vassallo, Renato
;
Castillo B., Paul
- In:
Economic modelling
124
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463282
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
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
4
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:
5
Asymmetries in Volatility : an empirical study for the Peruvian stock and Forex markets
Alanya, Willy
;
Rodriguez, Gabriel
- In:
Review of Pacific Basin financial markets and policies
22
(
2019
)
1
,
pp. 1950003-1-1950003-18
Persistent link: https://www.econbiz.de/10012156142
Saved in:
6
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
7
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:
8
Nonparametric estimation and forecasting for time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 88-100
Persistent link: https://www.econbiz.de/10011894402
Saved in:
9
Selecting between autoregressive conditional heteroskedasticity models : an empirical application to the volatility of stock returns in Peru
Rodriguez, Gabriel
- In:
Revista de análisis económico
32
(
2017
)
1
,
pp. 69-94
Persistent link: https://www.econbiz.de/10011924649
Saved in:
10
Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?
Herrera Aramburú, Andrés
;
Rodriguez, Gabriel
- In:
International journal of monetary economics and finance
9
(
2016
)
1
,
pp. 45-66
Persistent link: https://www.econbiz.de/10011548319
Saved in:
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