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person:"Corsi, Fulvio"
subject:"Volatilität"
~accessRights:"restricted"
~person:"Daníelsson, Jón"
~person:"Mancino, Maria Elvira"
~subject:"ARCH model"
~subject:"Korrelation"
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Search: subject_exact:"Estimation theory"
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Volatilität
ARCH model
Korrelation
Estimation theory
7
Schätztheorie
7
Volatility
7
Estimation
4
Schätzung
4
Time series analysis
4
Zeitreihenanalyse
4
ARCH-Modell
2
Capital income
2
Correlation
2
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2
Fourier analysis
2
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2
(Powers of) volatility estimation
1
Aktienmarkt
1
Analysis of variance
1
Asynchronicity
1
Business cycle
1
Börsenkurs
1
Central limit theorem
1
Covariance forecasting
1
Derivat
1
Derivative
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Estimation errors
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Financial crisis
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Financial market
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Finanzkrise
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Forecasting model
1
Fourier transform
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High-frequency data
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Intraday correlations
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Market microstructure
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Corsi, Fulvio
Daníelsson, Jón
Mancino, Maria Elvira
Francq, Christian
10
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Maheswaran, S.
7
Mykland, Per A.
7
Ardia, David
6
Fan, Jianqing
6
Kim, Donggyu
6
Li, Yingying
6
Tauchen, George Eugene
6
Andersen, Torben
5
Hafner, Christian M.
5
Liu, Zhi
5
Shin, Dong-wan
5
Sucarrat, Genaro
5
Zakoïan, Jean-Michel
5
Bauwens, Luc
4
Bollerslev, Tim
4
Kim, Jong-Min
4
Koopman, Siem Jan
4
Ledoit, Olivier
4
Li, Degui
4
Li, Dong
4
Ling, Shiqing
4
Linton, Oliver
4
Otranto, Edoardo
4
Potiron, Yoann
4
Rahbek, Anders
4
Sentana, Enrique
4
Varneskov, Rasmus Tangsgaard
4
Wang, Yazhen
4
Westerlund, Joakim
4
Wolf, Michael
4
Wu, Xinyu
4
Zhang, Lan
4
Zheng, Xinghua
4
Zhu, Ke
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Decisions in economics and finance : DEF ; a journal of applied mathematics
2
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic interaction and coordination
1
Journal of financial econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
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ECONIS (ZBW)
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1
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
2
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
3
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
4
Identifying financial instability conditions using high frequency data
Mancino, Maria Elvira
;
Sanfelici, Simona
- In:
Journal of economic interaction and coordination
15
(
2020
)
1
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012226914
Saved in:
5
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
6
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
7
Estimation of the stochastic volatility models by simulated maximum likelihood : C++ code
Daníelsson, Jón
(
contributor
)
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
1
(
1996
)
1
,
pp. 39-34
Persistent link: https://www.econbiz.de/10001769603
Saved in:
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