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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Ghysels, Eric"
~person:"Rodriguez, Gabriel"
~subject:"Börsenkurs"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Estimation theory
45
Schätztheorie
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19
Time series analysis
17
Zeitreihenanalyse
17
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Bollerslev, Tim
Ghysels, Eric
Rodriguez, Gabriel
Kumar, Dilip
16
Maheswaran, S.
15
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Teräsvirta, Timo
9
Francq, Christian
8
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7
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7
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7
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7
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7
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7
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6
Hafner, Christian M.
6
Sentana, Enrique
6
Taylor, Stephen
6
Wang, Yazhen
6
Bauwens, Luc
5
Engle, Robert F.
5
Faff, Robert W.
5
Fan, Jianqing
5
Fornari, Fabio
5
Härdle, Wolfgang
5
Jing, Bingyi
5
Li, Wai Keung
5
Nolte, Ingmar
5
Shephard, Neil G.
5
Silvennoinen, Annastiina
5
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5
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4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Daníelsson, Jón
4
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4
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4
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4
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4
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3
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1
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1
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1
International journal of monetary economics and finance
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Review of Pacific Basin financial markets and policies
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ECONIS (ZBW)
16
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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
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
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:
5
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:
6
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:
7
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:
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
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
10
Moment-implied densities : properties and applications
Ghysels, Eric
;
Wang, Fangfang
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
Saved in:
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