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person:"Croux, Christophe"
subject:"Volatility"
~person:"Alizadeh, Sassan"
~person:"Hafner, Christian M."
~person:"Todorov, Viktor"
~subject:"Linear algebra"
~subject:"Volatilität"
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Search: subject_exact:"Estimation theory"
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Volatility
Linear algebra
Volatilität
Estimation theory
134
Schätztheorie
134
Robust statistics
37
Robustes Verfahren
37
Time series analysis
36
Zeitreihenanalyse
36
Estimation
30
Schätzung
30
Regression analysis
27
Regressionsanalyse
27
Theorie
24
Theory
24
Correlation
18
Korrelation
18
ARCH model
17
ARCH-Modell
17
Stochastic process
16
Stochastischer Prozess
16
Nichtparametrisches Verfahren
15
Nonparametric statistics
15
Multivariate Analyse
11
Multivariate analysis
11
Börsenkurs
10
Exchange rate
10
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10
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10
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9
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9
Kapitaleinkommen
9
Option pricing theory
9
Optionspreistheorie
9
Prognoseverfahren
9
VAR model
8
VAR-Modell
8
High-frequency data
5
Lineare Algebra
5
Maximum likelihood estimation
5
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Free
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English
50
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Croux, Christophe
Alizadeh, Sassan
Hafner, Christian M.
Todorov, Viktor
Koopman, Siem Jan
19
Li, Jia
17
Kumar, Dilip
16
Li, Yingying
15
Teräsvirta, Timo
15
Maheswaran, S.
14
Tauchen, George Eugene
14
Brandt, Michael W.
13
Diebold, Francis X.
12
Kim, Donggyu
12
Linton, Oliver
12
Härdle, Wolfgang
11
Mancino, Maria Elvira
11
Andersen, Torben
10
Bauwens, Luc
10
Fan, Jianqing
10
Silvennoinen, Annastiina
10
Swanson, Norman R.
10
Ghysels, Eric
9
Liu, Zhi
9
Lucas, André
9
Mykland, Per A.
9
Rodriguez, Gabriel
9
Spokojnyj, Vladimir G.
9
Hurvich, Clifford M.
8
Sentana, Enrique
8
Wang, Yazhen
8
Zheng, Xinghua
8
Ardia, David
7
Bibinger, Markus
7
Bollerslev, Tim
7
Cavaliere, Giuseppe
7
Daníelsson, Jón
7
Fernández-Villaverde, Jesús
7
Francq, Christian
7
Gouriéroux, Christian
7
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Rodney L. White Center for Financial Research
2
National Bureau of Economic Research
1
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
1
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Journal of econometrics
13
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4
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Finanzmarktanalyse und -prognose mit innovativen quantitativen Verfahren : Ergebnisse des 5. Karlsruher Ökonometrie-Workshops
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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ECONIS (ZBW)
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1
A dynamic conditional score model for the log correlation matrix
Hafner, Christian M.
;
Wang, Linqi
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014471519
Saved in:
2
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:
3
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
6
A dynamic conditional score model for the log correlation matrix
Hafner, Christian M.
;
Wang, Linqi
-
2019
Persistent link: https://www.econbiz.de/10012215223
Saved in:
7
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
8
Estimation of a multiplicative correlation structure in the large dimensional case
Hafner, Christian M.
;
Linton, Oliver
;
Tang, Haihan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 431-470
Persistent link: https://www.econbiz.de/10012482816
Saved in:
9
On asymptotic theory for ARCH models
Hafner, Christian M.
;
Preminger, Arie
-
2016
Persistent link: https://www.econbiz.de/10011893997
Saved in:
10
Estimation of a multiplicative covariance structure in the large dimensional case
Hafner, Christian M.
;
Linton, Oliver
;
Tang, Haihan
-
2016
Persistent link: https://www.econbiz.de/10011894446
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