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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Lucas, André"
~subject:"Share price"
~subject:"Stochastischer Prozess"
~subject:"Theory"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Share price
Stochastischer Prozess
Theory
Estimation theory
31
Schätztheorie
31
Theorie
14
Time series analysis
14
Zeitreihenanalyse
14
Estimation
8
Schätzung
8
Volatilität
8
Stochastic process
5
Capital income
4
Exchange rate
4
Forecasting model
4
Kapitaleinkommen
4
Prognoseverfahren
4
Wechselkurs
4
ARCH model
3
ARCH-Modell
3
High-frequency data
3
Maximum likelihood estimation
3
Maximum-Likelihood-Schätzung
3
Statistical distribution
3
Statistische Verteilung
3
USA
3
United States
3
Asymptotic normality
2
Autocorrelation
2
Autokorrelation
2
Börsenkurs
2
CAPM
2
Devisenmarkt
2
Foreign exchange market
2
Market microstructure
2
Marktmikrostruktur
2
Microstructure noise
2
Modellierung
2
Nichtparametrisches Verfahren
2
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2
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Aufsatz in Zeitschrift
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Bollerslev, Tim
Lucas, André
Phillips, Peter C. B.
34
Andrews, Donald W. K.
31
Newey, Whitney K.
27
Li, Qi
25
McAleer, Michael
25
Baltagi, Badi H.
23
Ohtani, Kazuhiro
21
Pesaran, M. Hashem
21
Krämer, Walter
20
Giles, David E. A.
19
Ullah, Aman
19
Gouriéroux, Christian
18
Horowitz, Joel
18
King, Maxwell L.
18
Lee, Lung-fei
17
Linton, Oliver
17
Tauchen, George Eugene
17
Granger, C. W. J.
16
Kumar, Dilip
16
Robinson, Peter M.
16
Srivastava, Virendra K.
16
Wooldridge, Jeffrey M.
16
Zakoïan, Jean-Michel
16
Ghysels, Eric
15
Hahn, Jinyong
15
Maheswaran, S.
15
Schmidt, Peter
15
Kelejian, Harry H.
14
Rilstone, Paul
14
Bai, Jushan
13
Bera, Anil K.
13
Godfrey, L. G.
13
Lütkepohl, Helmut
13
Perron, Pierre
13
Smith, Richard J.
13
Teräsvirta, Timo
13
Dufour, Jean-Marie
12
Francq, Christian
12
Franses, Philip Hans
12
Hendry, David F.
12
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of econometrics
5
Econometric reviews
3
Econometric theory
1
Economics letters
1
International journal of forecasting
1
Journal of financial econometrics
1
Journal of international money and finance
1
The journal of finance : the journal of the American Finance Association
1
The review of economic studies
1
The review of economics and statistics
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ECONIS (ZBW)
22
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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
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:
4
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
5
A stochastic recurrence equations approach for score driven correlation models
Blasques, Francisco
;
Lucas, André
;
Silde, Erkki
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 166-181
Persistent link: https://www.econbiz.de/10012038166
Saved in:
6
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:
7
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
8
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:
9
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Abadir, Karim Maher
;
Lucas, André
- In:
Journal of econometrics
119
(
2004
)
1
,
pp. 45-71
Persistent link: https://www.econbiz.de/10001943912
Saved in:
10
High-frequency data, frequency domain inference, and volatility forecasting
Bollerslev, Tim
;
Wright, Jonathan H.
- In:
The review of economics and statistics
83
(
2001
)
4
,
pp. 596-602
Persistent link: https://www.econbiz.de/10001627219
Saved in:
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