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subject:"EU-Staaten"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Barigozzi, Matteo"
~person:"Bollerslev, Tim"
~person:"Todorov, Viktor"
~subject:"Stock market"
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EU-Staaten
Volatility
Stock market
Estimation
23
Schätzung
23
Volatilität
21
Time series analysis
13
Zeitreihenanalyse
13
Estimation theory
12
Schätztheorie
12
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11
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11
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22
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Barigozzi, Matteo
Bollerslev, Tim
Todorov, Viktor
Tauchen, George Eugene
7
Andersen, Torben
5
Kim, Donggyu
5
Li, Jia
5
Aït-Sahalia, Yacine
4
Francq, Christian
3
McAleer, Michael
3
Park, Joon Y.
3
Patton, Andrew J.
3
Wang, Yazhen
3
Xiu, Dacheng
3
Zakoïan, Jean-Michel
3
Asai, Manabu
2
Bibinger, Markus
2
Christensen, Kim
2
Creal, Drew
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Gallo, Giampiero M.
2
Ghysels, Eric
2
Grynkiv, Iaryna
2
Hallin, Marc
2
Harvey, Andrew C.
2
Kong, Xin-Bing
2
Li, Yingying
2
Paolella, Marc S.
2
Polak, Pawel
2
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2
Taylor, Robert
2
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2
Valkanov, Rossen I.
2
Wang, Bin
2
Winkelmann, Lars
2
Zhang, Congshan
2
Zheng, Xu
2
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2
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2
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Journal of econometrics
Journal of financial economics
6
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
NBER Working Paper
4
NBER working paper series
4
ERID working paper
3
CREATES research paper
2
ECARES working paper
2
Economic Research Initiatives at Duke (ERID) Working Paper
2
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics
2
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2
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2
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1
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Cahier / Départment de Sciences Économiques, Université de Montréal
1
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Handbook of economic forecasting ; 1
1
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1
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ECONIS (ZBW)
22
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22
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
5
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:
6
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:
7
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
8
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
9
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
10
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
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