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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Kumar, Dilip"
~person:"Li, Yingying"
~person:"Mykland, Per A."
~subject:"Exchange rate"
~subject:"Marktmikrostruktur"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatilität
Exchange rate
Marktmikrostruktur
Estimation theory
42
Schätztheorie
42
Volatility
31
Capital income
19
Kapitaleinkommen
19
Market microstructure
16
Time series analysis
16
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16
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15
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15
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14
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14
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12
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12
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5
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5
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5
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4
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4
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4
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34
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Corsi, Fulvio
Kumar, Dilip
Li, Yingying
Mykland, Per A.
Maheswaran, S.
14
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
11
Bollerslev, Tim
8
Liu, Zhi
8
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
Wang, Yazhen
6
Zhang, Lan
6
Aït-Sahalia, Yacine
5
Cheung, Yin-Wong
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Linton, Oliver
5
Mancino, Maria Elvira
5
McAleer, Michael
5
Russell, Jeffrey R.
5
Shephard, Neil G.
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arize, Augustine Chuck
4
Arnerić, Josip
4
Bauwens, Luc
4
Clements, Adam
4
Diebold, Francis X.
4
Elliott, Robert J.
4
Fičura, Milan
4
Hwang, Eunju
4
Li, Wai Keung
4
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4
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Journal of econometrics
9
Economic modelling
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
IIMB management review
2
International review of economics & finance : IREF
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
The journal of prediction markets
2
Theoretical economics letters
2
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1
International journal of forecasting
1
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1
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ECONIS (ZBW)
34
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
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
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
5
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:
6
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
7
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
8
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
9
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
10
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
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