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person:"Kapetanios, George"
~isPartOf:"Journal of econometrics"
~person:"Hounyo, Ulrich"
~person:"Koopman, Siem Jan"
~person:"Maravall Herrero, Agustín"
~subject:"Volatility"
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Search: subject_exact:"Time series analysis"
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Volatility
Time series analysis
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Estimation theory
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5
Prognoseverfahren
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Kapetanios, George
Hounyo, Ulrich
Koopman, Siem Jan
Maravall Herrero, Agustín
Todorov, Viktor
7
Li, Jia
6
Andersen, Torben
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
5
Bollerslev, Tim
4
Hallin, Marc
4
McAleer, Michael
4
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Barigozzi, Matteo
3
Fan, Jianqing
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Boswijk, Herman Peter
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Francq, Christian
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Liu, Zhi
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Meddahi, Nour
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Journal of econometrics
Discussion paper / Tinbergen Institute
27
CREATES research paper
2
Journal of empirical finance
2
Série scientifique / CIRANO, Centre Interuniversitaire de Recherche en Analyse des Organisations
2
Econometric analysis of financial and economic time series ; part a
1
Econometric reviews
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Econometric theory
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Quantitative economics : QE ; journal of the Econometric Society
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The econometrics journal
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Tinbergen Institute Discussion Paper 09-110/4
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Tinbergen Institute Discussion Paper 10-032/2
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Tinbergen Institute Discussion Paper 14-118/III
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Tinbergen Institute Discussion Paper 20-004/III
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Tinbergen Institute Discussion Paper 2016-061/III
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Tinbergen Institute Discussion Paper 2018-027/III
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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
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:
3
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
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