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person:"Dufour, Jean-Marie"
subject:"Statistical theory"
~person:"Bollerslev, Tim"
~person:"Francq, Christian"
~subject:"Volatility"
~type:"article"
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Statistical theory
Volatility
Estimation theory
77
Schätztheorie
77
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22
Time series analysis
17
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Dufour, Jean-Marie
Bollerslev, Tim
Francq, Christian
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Ghysels, Eric
10
Tauchen, George Eugene
10
Teräsvirta, Timo
10
Andersen, Torben
7
Kim, Donggyu
7
King, Maxwell L.
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
White, Halbert
7
Andrews, Donald W. K.
6
Hafner, Christian M.
6
Hansen, Bruce E.
6
Koopman, Siem Jan
6
Wang, Yazhen
6
Bauwens, Luc
5
Fan, Jianqing
5
Godfrey, L. G.
5
Gouriéroux, Christian
5
Hong, Yongmiao
5
Jing, Bingyi
5
Kuan, Chung-ming
5
McAleer, Michael
5
Park, Joon Y.
5
Silvennoinen, Annastiina
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Boswijk, Herman Peter
4
Clements, Adam
4
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4
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Journal of econometrics
8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
The review of economics and statistics
2
Econometric analysis of financial and economic time series ; part a
1
Econometric reviews
1
Econometric theory
1
International economic review
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Topics in identification, limited dependent variables, partial observability, experimentation, and flexible modelling ; Part A
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ECONIS (ZBW)
22
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1
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
2
Reverse regressions, symmetry and test distributions in linear models
Dufour, Jean-Marie
;
Kang, Byunguk
- In:
Journal of quantitative economics
20
(
2022
),
pp. 71-99
Persistent link: https://www.econbiz.de/10013441607
Saved in:
3
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
4
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
5
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
6
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
7
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
8
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
9
A simple efficient moment-based estimator for the stochastic volatility model
Ahsan, Nazmul
;
Dufour, Jean-Marie
-
2019
Persistent link: https://www.econbiz.de/10012244154
Saved in:
10
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
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