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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Journal of econometrics"
~person:"Christensen, Kim"
~person:"Engle, Robert F."
~person:"Gouriéroux, Christian"
~subject:"Bipower variation"
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Time series analysis
United States
Bipower variation
Estimation
7
Schätzung
7
Zeitreihenanalyse
4
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Volatility
3
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3
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Christensen, Kim
Engle, Robert F.
Gouriéroux, Christian
Todorov, Viktor
7
Bollerslev, Tim
5
Kim, Donggyu
5
Koop, Gary
5
Li, Jia
5
Tauchen, George Eugene
5
Andersen, Torben
3
Baltagi, Badi H.
3
Fan, Jianqing
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3
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3
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2
Aït-Sahalia, Yacine
2
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2
Diebold, Francis X.
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Dijk, Dick van
2
Ergemen, Yunus Emre
2
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2
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2
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2
Hounyo, Ulrich
2
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2
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2
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2
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2
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2
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Journal of econometrics
Discussion paper / Department of Economics, University of California San Diego
7
Working paper / National Bureau of Economic Research, Inc.
7
Discussion paper / Centre for Economic Policy Research
2
Série des documents de travail
2
The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
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1
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
Gagliardini, Patrick
;
Gouriéroux, Christian
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 613-637
Persistent link: https://www.econbiz.de/10012149372
Saved in:
2
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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
Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian
;
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
Saved in:
5
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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