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person:"Corsi, Fulvio"
subject:"Volatilität"
~language:"eng"
~person:"Bauwens, Luc"
~person:"Ghysels, Eric"
~person:"Gouriéroux, Christian"
~type_genre:"Article in journal"
~type_genre:"Working Paper"
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Search: subject_exact:"Estimation theory"
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Volatilität
Estimation theory
142
Schätztheorie
142
Theorie
65
Theory
65
Time series analysis
46
Zeitreihenanalyse
46
Volatility
22
Estimation
21
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21
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17
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17
Statistical theory
14
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14
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Corsi, Fulvio
Bauwens, Luc
Ghysels, Eric
Gouriéroux, Christian
Kumar, Dilip
16
Todorov, Viktor
16
Koopman, Siem Jan
14
Maheswaran, S.
14
Tauchen, George Eugene
14
Teräsvirta, Timo
14
Li, Jia
13
Andersen, Torben
10
Hafner, Christian M.
10
Härdle, Wolfgang
9
Lucas, André
9
Rodriguez, Gabriel
9
Brandt, Michael W.
8
Silvennoinen, Annastiina
8
Bibinger, Markus
7
Daníelsson, Jón
7
Diebold, Francis X.
7
Francq, Christian
7
Hautsch, Nikolaus
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Bollerslev, Tim
6
Clements, Adam
6
Reiß, Markus
6
Sibbertsen, Philipp
6
Spokojnyj, Vladimir G.
6
Taylor, Robert
6
Wang, Yazhen
6
Zakoïan, Jean-Michel
6
Alizadeh, Sassan
5
Amado, Cristina
5
Cavaliere, Giuseppe
5
Croux, Christophe
5
Fan, Jianqing
5
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of econometrics
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
CORE discussion papers : DP
2
International journal of forecasting
2
Série des documents de travail
2
Discussion paper / Centre for Economic Policy Research
1
Econometric theory
1
Global COE Hi-Stat discussion paper series
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Quaderni del Dipartimento di economia politica e statistica
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ECONIS (ZBW)
22
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1
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
2
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
3
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
4
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
5
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:
6
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:
7
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:
8
A flexible state-space model with application to stochastic volatility
Gouriéroux, Christian
;
Lu, Yang
-
2016
Persistent link: https://www.econbiz.de/10012196330
Saved in:
9
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:
10
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
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