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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Bollerslev, Tim"
~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
133
Schätztheorie
133
Theorie
68
Theory
68
Time series analysis
35
Zeitreihenanalyse
35
Volatility
23
Estimation
20
Schätzung
20
Statistical theory
11
Statistische Methodenlehre
11
Capital income
10
Kapitaleinkommen
10
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
Stochastic process
9
Stochastischer Prozess
9
USA
9
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VAR model
9
VAR-Modell
9
Correlation
8
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8
Market microstructure
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8
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6
Forecasting model
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6
Risikomanagement
6
Risk
6
Risk management
6
Schock
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Shock
6
Börsenkurs
5
CAPM
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
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Article
13
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10
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English
23
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Corsi, Fulvio
Bollerslev, Tim
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
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
Bauwens, Luc
5
Cavaliere, Giuseppe
5
Croux, Christophe
5
Fan, Jianqing
5
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Journal of econometrics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Série des documents de travail
2
Discussion paper / Centre for Economic Policy Research
1
Econometric theory
1
Global COE Hi-Stat discussion paper series
1
International finance discussion papers
1
International journal of forecasting
1
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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1
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
1
The review of economics and statistics
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ECONIS (ZBW)
23
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
2
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:
3
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:
4
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:
5
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
6
A flexible state-space model with application to stochastic volatility
Gouriéroux, Christian
;
Lu, Yang
-
2016
Persistent link: https://www.econbiz.de/10012196330
Saved in:
7
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
8
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
9
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:
10
Volatility forecasting : the jumps do matter
Corsi, Fulvio
;
Pirino, Davide
;
Renò, Roberto
-
2009
Persistent link: https://www.econbiz.de/10003854418
Saved in:
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