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person:"Kapetanios, George"
~isPartOf:"Journal of econometrics"
~person:"Koopman, Siem Jan"
~person:"Maravall Herrero, Agustín"
~person:"Tauchen, George Eugene"
~subject:"Volatility"
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Search: subject_exact:"Time series analysis"
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Volatility
Time series analysis
19
Zeitreihenanalyse
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Estimation theory
11
Schätztheorie
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7
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7
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6
Theory
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Kapetanios, George
Koopman, Siem Jan
Maravall Herrero, Agustín
Tauchen, George Eugene
Todorov, Viktor
7
Li, Jia
6
Andersen, Torben
5
Kim, Donggyu
5
Li, Yingying
5
Bollerslev, Tim
4
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
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3
Fan, Jianqing
3
Kong, Xin-Bing
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Taylor, Robert
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Wang, Yazhen
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Asai, Manabu
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Boswijk, Herman Peter
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Cavaliere, Giuseppe
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Chan, Joshua
2
Christensen, Kim
2
Clinet, Simon
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Ergemen, Yunus Emre
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Francq, Christian
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Hounyo, Ulrich
2
Li, Guodong
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Li, Wai Keung
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Liu, Zhi
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Meddahi, Nour
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Medeiros, Marcelo C.
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Mykland, Per A.
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Petrova, Katerina
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Podolskij, Mark
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Shephard, Neil G.
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Journal of econometrics
Discussion paper / Tinbergen Institute
27
ERID working paper
5
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
Journal of empirical finance
2
CREATES research paper
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Econometric analysis of financial and economic time series ; part a
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Economic Research Initiatives at Duke (ERID) Working Paper
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Economics letters
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Journal of economic dynamics & control
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Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial economics
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Quantitative economics : QE ; journal of the Econometric Society
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Review of finance : journal of the European Finance Association
1
SFB 649 discussion paper
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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
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:
2
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:
3
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
4
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
5
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
6
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
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