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person:"Corsi, Fulvio"
subject:"Volatilität"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Horváth, Lajos"
~subject:"Bond market"
~subject:"Capital income"
~subject:"Estimation theory"
~subject:"Theorie"
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Volatilität
Bond market
Capital income
Estimation theory
Theorie
Schätztheorie
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ARCH model
2
ARCH-Modell
2
Correlation
2
Estimation
2
Korrelation
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Market microstructure
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adequacy test for CCC-GARCH models
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Corsi, Fulvio
Horváth, Lajos
Chen, Yi-ting
3
Francq, Christian
3
Audrino, Francesco
2
Engle, Robert F.
2
Frederiksen, Per
2
Gallant, A. Ronald
2
Härdle, Wolfgang
2
Shephard, Neil G.
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
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Amengual, Dante
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Andreou, Alena
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Bennett, Christopher J.
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Billio, Monica
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Birke, Melanie
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Bormann, Carsten
1
Bos, Charles S.
1
Boudt, Kris
1
Bu, Ruijun
1
Caldeira, João F.
1
Calvet, Laurent E.
1
Candelon, Bertrand
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Cappiello, Lorenzo
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Carrasco, Marine
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Chen, Jiaqin
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Christensen, Kim
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Christoffersen, Peter F.
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Colletaz, Gilbert
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Conrad, Christian A.
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Croux, Christophe
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Czado, Claudia
1
Czellar, Veronika
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Econometric theory
7
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
2
Journal of econometrics
2
Discussion papers of interdisciplinary research project 373
1
Global COE Hi-Stat discussion paper series
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Quaderni del Dipartimento di economia politica e statistica
1
Research paper series / Swiss Finance Institute
1
Série des documents de travail / Centre de Recherche en Économie et Statistique
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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:
2
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:
3
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:
4
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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