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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Spokojnyj, Vladimir G."
~subject:"Marktmikrostruktur"
~subject:"Statistical test"
~subject:"Stochastischer Prozess"
~type:"article"
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Volatilität
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Estimation theory
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Corsi, Fulvio
Spokojnyj, Vladimir G.
Kumar, Dilip
16
Maheswaran, S.
14
Dufour, Jean-Marie
13
Phillips, Peter C. B.
13
Todorov, Viktor
12
Bera, Anil K.
11
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11
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10
Francq, Christian
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10
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10
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9
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9
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9
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9
Sun, Yixiao
9
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8
Chen, Yi-ting
8
Khalaf, Lynda
8
Mykland, Per A.
8
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8
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8
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7
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7
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7
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7
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7
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7
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6
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6
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Applied quantitative finance
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
Varying coefficient GARCH models
Čížek, Pavel
;
Spokojnyj, Vladimir G.
- In:
Handbook of financial time series
,
(pp. 169-185)
.
2009
Persistent link: https://www.econbiz.de/10003833937
Saved in:
6
Locally time homogeneous time series modelling
Elagin, Mstislav
;
Spokojnyj, Vladimir G.
- In:
Applied quantitative finance
,
(pp. 345-361)
.
2009
Persistent link: https://www.econbiz.de/10003746421
Saved in:
7
Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
Saved in:
8
An adaptive, rate-optimal test of a parametric mean-regression model against a nonparametric alternative
Horowitz, Joel
;
Spokojnyj, Vladimir G.
- In:
Econometrica : journal of the Econometric Society, an …
69
(
2001
)
3
,
pp. 599-631
Persistent link: https://www.econbiz.de/10001580788
Saved in:
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