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source:"econis"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~person:"Gribisch, Bastian"
~person:"Hansen, Peter Reinhard"
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Volatility
Börsenkurs
3
Capital income
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Estimation
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Kapitaleinkommen
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Schätzung
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Share price
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Volatilität
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ARCH model
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ARCH-Modell
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Theorie
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Aktienmarkt
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Analysis of variance
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Correlation
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Multivariate Analyse
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Multivariate analysis
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Option trading
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Optionsgeschäft
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Risikoprämie
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Risk premium
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Stochastic process
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Stochastischer Prozess
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Stock market
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Time series analysis
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VIX
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Varianzanalyse
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Wishart distribution
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Zeitreihenanalyse
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efficient importance sampling
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high frequency data
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high-frequency data
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intraday stochastic volatility
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leverage
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mixed frequency
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multivariate GARCH
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multivariate volatility
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overnight returns
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Gribisch, Bastian
Hansen, Peter Reinhard
Sancetta, Alessio
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Alitab, Dario
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Barigozzi, Matteo
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Barunik, Jozef
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Baur, Dirk G.
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Dupuis, Debbie J.
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Erdemlioglu, Deniz
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Francq, Christian
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Gong, Yuting
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Gorgi, P.
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Grassi, Stefano
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Grønneberg, Steffen
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Halbleib, Roxana
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Hallin, Marc
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Hung, Mao-Wei
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Inoue, Atsushi
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Journal of financial econometrics
Discussion paper / Tinbergen Institute
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Journal of applied econometrics
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Journal of econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The Oxford handbook of economic forecasting
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ECONIS (ZBW)
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Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
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2
A mixed frequency stochastic volatility model for intraday stock market returns
Bekierman, Jeremias
;
Gribisch, Bastian
- In:
Journal of financial econometrics
19
(
2021
)
3
,
pp. 496-530
Persistent link: https://www.econbiz.de/10012654963
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3
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
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