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person:"Kapetanios, George"
~isPartOf:"Journal of econometrics"
~person:"Hounyo, Ulrich"
~person:"Koopman, Siem Jan"
~person:"Maravall Herrero, Agustín"
~person:"Meddahi, Nour"
~subject:"Volatility"
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Volatility
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Kapetanios, George
Hounyo, Ulrich
Koopman, Siem Jan
Maravall Herrero, Agustín
Meddahi, Nour
Todorov, Viktor
7
Li, Jia
6
Andersen, Torben
5
Kim, Donggyu
5
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Journal of econometrics
Discussion paper / Tinbergen Institute
27
CREATES research paper
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Journal of empirical finance
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Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations
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Econometric analysis of financial and economic time series ; part a
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Tinbergen Institute Discussion Paper 09-110/4
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ECONIS (ZBW)
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1
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
2
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:
3
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
4
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
5
Realized volatility
Meddahi, Nour
;
Mykland, Per A.
;
Shephard, Neil G.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1
Persistent link: https://www.econbiz.de/10009242567
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