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person:"Daníelsson, Jón"
subject:"Volatility"
~person:"Bauwens, Luc"
~person:"Diebold, Francis X."
~person:"Li, Yingying"
~subject:"Market microstructure noise"
~subject:"United States"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Market microstructure noise
United States
Zeitreihenanalyse
Estimation theory
143
Schätztheorie
143
Theorie
51
Theory
51
Time series analysis
47
Volatilität
39
Estimation
37
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37
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23
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23
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Daníelsson, Jón
Bauwens, Luc
Diebold, Francis X.
Li, Yingying
Phillips, Peter C. B.
101
Gao, Jiti
75
Koopman, Siem Jan
59
Johansen, Søren
43
Teräsvirta, Timo
43
Franses, Philip Hans
42
Lütkepohl, Helmut
41
Nielsen, Morten Ørregaard
39
Linton, Oliver
37
Swanson, Norman R.
36
Kapetanios, George
33
Pesaran, M. Hashem
33
Nelson, Daniel B.
32
Harvey, Andrew C.
31
Koop, Gary
30
Sibbertsen, Philipp
30
Engle, Robert F.
29
Stock, James H.
28
Lucas, André
27
Watson, Mark W.
27
Peng, Bin
26
Gouriéroux, Christian
25
Li, Degui
25
Taylor, Robert
25
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24
Granger, C. W. J.
24
Härdle, Wolfgang
24
Maravall Herrero, Agustín
24
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24
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23
Haldrup, Niels
23
McAleer, Michael
23
Nielsen, Bent
23
Robinson, Peter M.
23
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22
Hassler, Uwe
22
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22
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22
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8
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6
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ECONIS (ZBW)
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51
The cost of conservatism : extreme returns, value-at-risk, and the Basle "multiplication factor"
Daníelsson, Jón
;
Hartmann, Philipp
;
Vries, Casper G. de
-
1998
Persistent link: https://www.econbiz.de/10000988111
Saved in:
52
Asymmetric ACD models : introducing price information in ACD models with a two state transition model
Bauwens, Luc
-
1998
Persistent link: https://www.econbiz.de/10000994354
Saved in:
53
Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.
;
Hahn, Jinyong
;
Tay, Anthony S. A.
-
1998
Persistent link: https://www.econbiz.de/10000998139
Saved in:
54
Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange
Diebold, Francis X.
;
Hahn, Jinyong
;
Tay, Anthony S.
-
1998
Persistent link: https://www.econbiz.de/10000682409
Saved in:
55
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
Saved in:
56
Dynamic equilibrium economies : a framework for comparing models and data
Diebold, Francis X.
- In:
The review of economic studies
65
(
1998
)
3
,
pp. 433-451
Persistent link: https://www.econbiz.de/10001244374
Saved in:
57
A Gibbs sampling approach to cointegration
Bauwens, Luc
-
1997
Persistent link: https://www.econbiz.de/10000962645
Saved in:
58
The logarithmic ACD model : an application to market microstructure and NASDAQ
Bauwens, Luc
;
Giot, Pierre
-
1997
Persistent link: https://www.econbiz.de/10000980123
Saved in:
59
Optimal prediction under asymmetric loss
Christoffersen, Peter F.
;
Diebold, Francis X.
-
1997
Persistent link: https://www.econbiz.de/10000968816
Saved in:
60
Value-at-risk and extreme returns
Daníelsson, Jón
;
Vries, Casper G. de
-
1997
Persistent link: https://www.econbiz.de/10000975058
Saved in:
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