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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~person:"Bauwens, Luc"
~person:"Li, Yingying"
~person:"Spokojnyj, Vladimir G."
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Volatilität
Estimation theory
15
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15
Time series analysis
8
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8
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8
Market microstructure
6
Marktmikrostruktur
6
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Corsi, Fulvio
Bauwens, Luc
Li, Yingying
Spokojnyj, Vladimir G.
Todorov, Viktor
10
Andersen, Torben
7
Li, Jia
7
Tauchen, George Eugene
7
Kim, Donggyu
6
Francq, Christian
5
Mykland, Per A.
5
Bollerslev, Tim
4
Wang, Yazhen
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Ghysels, Eric
3
Hautsch, Nikolaus
3
Jing, Bingyi
3
Koopman, Siem Jan
3
Meddahi, Nour
3
Park, Joon Y.
3
Potiron, Yoann
3
Shephard, Neil G.
3
Varneskov, Rasmus Tangsgaard
3
Yang, Xiye
3
Zhang, Lan
3
Zhang, Zhiyuan
3
Zu, Yang
3
Andreou, Elena
2
Bandi, Federico M.
2
Bibinger, Markus
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Boswijk, Herman Peter
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Clinet, Simon
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Fan, Jianqing
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Gallant, A. Ronald
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Gouriéroux, Christian
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Grynkiv, Iaryna
2
Hafner, Christian M.
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Li, Dong
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
CORE discussion papers : DP
2
Discussion papers of interdisciplinary research project 373
2
International journal of forecasting
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Applied quantitative finance
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Global COE Hi-Stat discussion paper series
1
Handbook of financial time series
1
Preprint / Weierstraß-Institut für Angewandte Analysis und Stochastik
1
Quaderni del Dipartimento di economia politica e statistica
1
Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
8
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8
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8
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
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
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
5
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
6
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
7
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
8
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
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