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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Francq, Christian"
~subject:"Capital income"
~subject:"Estimation theory"
~subject:"Theorie"
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Volatilität
Capital income
Estimation theory
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2
Estimation
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Corsi, Fulvio
Francq, Christian
Chen, Yi-ting
3
Audrino, Francesco
2
Engle, Robert F.
2
Frederiksen, Per
2
Gallant, A. Ronald
2
Horváth, Lajos
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Härdle, Wolfgang
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Shephard, Neil G.
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Zakoïan, Jean-Michel
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Bu, Ruijun
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Série des documents de travail / Centre de Recherche en Économie et Statistique
13
Journal of econometrics
10
Econometric theory
5
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
5
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of the American Statistical Association : JASA
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Working paper series
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Annals of economics and statistics
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CORE discussion paper : DP
1
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Global COE Hi-Stat discussion paper series
1
Handbook of financial time series
1
International journal of forecasting
1
Quaderni del Dipartimento di economia politica e statistica
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Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
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1
An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 129-154
Persistent link: https://www.econbiz.de/10011987691
Saved in:
2
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
3
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
4
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
5
Merits and drawbacks of variance targeting in GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 619-656
Persistent link: https://www.econbiz.de/10009407372
Saved in:
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