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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Daníelsson, Jón"
~person:"Mancino, Maria Elvira"
~subject:"ARCH model"
~subject:"Korrelation"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatilität
ARCH model
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Estimation theory
13
Schätztheorie
13
Volatility
9
Estimation
7
Schätzung
7
Time series analysis
7
Zeitreihenanalyse
7
Capital income
4
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4
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4
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4
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4
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3
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(Powers of) volatility estimation
1
1975-1993
1
1980-1987
1
Aktienindex
1
Aktienmarkt
1
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Corsi, Fulvio
Daníelsson, Jón
Mancino, Maria Elvira
Francq, Christian
19
Kumar, Dilip
16
Maheswaran, S.
16
Fan, Jianqing
14
Zakoïan, Jean-Michel
14
Linton, Oliver
13
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Hafner, Christian M.
10
Mykland, Per A.
8
Rahbek, Anders
8
Shin, Dong-wan
8
Teräsvirta, Timo
8
Andersen, Torben
7
Kim, Donggyu
7
Koopman, Siem Jan
7
Li, Yingying
7
Liu, Zhi
7
McAleer, Michael
7
Ardia, David
6
Bauwens, Luc
6
Bollerslev, Tim
6
Li, Degui
6
Li, Wai Keung
6
Ling, Shiqing
6
Wang, Yazhen
6
Elliott, Robert J.
5
Ghysels, Eric
5
Hautsch, Nikolaus
5
Horváth, Lajos
5
Jing, Bingyi
5
Kristensen, Dennis
5
Li, Guodong
5
Phillips, Peter C. B.
5
Sucarrat, Genaro
5
Taylor, Stephen
5
Xiu, Dacheng
5
Zhang, Lan
5
Zhu, Ke
5
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Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Annales d'économie et de statistique
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic interaction and coordination
1
Journal of empirical finance
1
Journal of financial econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
11
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1
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
2
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:
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
Identifying financial instability conditions using high frequency data
Mancino, Maria Elvira
;
Sanfelici, Simona
- In:
Journal of economic interaction and coordination
15
(
2020
)
1
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012226914
Saved in:
5
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
6
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
7
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:
8
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:
9
Value-at-risk and extreme returns
Daníelsson, Jón
;
Vries, Casper G. de
- In:
Annales d'économie et de statistique
(
2000
),
pp. 239-270
Persistent link: https://www.econbiz.de/10001543557
Saved in:
10
Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón
- In:
Journal of empirical finance
5
(
1998
)
2
,
pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
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