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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~person:"Grønneberg, Steffen"
~person:"Li, Jia"
~person:"Taylor, Stephen"
~person:"Todorov, Viktor"
~subject:"Induktive Statistik"
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Volatility
Induktive Statistik
Estimation
2
Estimation theory
2
Schätztheorie
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Schätzung
2
Time series analysis
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Volatilität
2
Zeitreihenanalyse
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expected shortfall
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financial return
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forecasting
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high-frequency data
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price durations
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value-at-risk
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volatility
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Grønneberg, Steffen
Li, Jia
Taylor, Stephen
Todorov, Viktor
Sancetta, Alessio
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Babii, Andrii
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Cipollini, Fabrizio
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Journal of financial econometrics
Journal of econometrics
12
Econometric theory
2
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 banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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Swiss journal of economics and statistics
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Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
2
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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