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subject:"Volatility"
type_genre:"Article in journal"
~person:"Francq, Christian"
~person:"Todorov, Viktor"
~subject:"Cointegration"
~subject:"Time series analysis"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Volatility
Cointegration
Time series analysis
USA
Estimation theory
36
Schätztheorie
36
ARCH model
19
ARCH-Modell
19
Volatilität
19
Estimation
17
Schätzung
17
Zeitreihenanalyse
13
Börsenkurs
11
Share price
11
Stochastic process
11
Stochastischer Prozess
11
Capital income
7
Kapitaleinkommen
7
High-frequency data
5
Maximum likelihood estimation
5
Maximum-Likelihood-Schätzung
5
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5
Risk measure
5
Stochastic volatility
5
Induktive Statistik
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Statistical inference
4
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3
Betafaktor
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3
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Martingal
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Martingale
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Measurement
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Messung
3
Option pricing theory
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Options
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Article in journal
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English
22
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Francq, Christian
Todorov, Viktor
Phillips, Peter C. B.
39
Leybourne, Stephen James
18
Linton, Oliver
18
Taylor, Robert
18
Johansen, Søren
17
Lütkepohl, Helmut
17
Harvey, Andrew C.
16
Kumar, Dilip
16
Teräsvirta, Timo
16
Chambers, Marcus J.
15
Perron, Pierre
15
Gao, Jiti
14
Hassler, Uwe
14
Maheswaran, S.
14
Tauchen, George Eugene
13
Baltagi, Badi H.
12
Ghysels, Eric
12
Koop, Gary
12
Li, Jia
12
Robinson, Peter M.
12
Xiao, Zhijie
12
Baillie, Richard
11
Koopman, Siem Jan
11
Li, Qi
11
McAleer, Michael
11
Nielsen, Morten Ørregaard
11
Zhu, Ke
11
Bauwens, Luc
10
Cavaliere, Giuseppe
10
Franses, Philip Hans
10
Granger, C. W. J.
10
Hendry, David F.
10
Lucas, André
10
Paruolo, Paolo
10
Pesaran, M. Hashem
10
Westerlund, Joakim
10
Zakoïan, Jean-Michel
10
Boswijk, Herman Peter
9
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Journal of econometrics
16
Econometric theory
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
22
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1
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
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
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
4
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Econometric theory
39
(
2023
)
5
,
pp. 1067-1092
Persistent link: https://www.econbiz.de/10014436596
Saved in:
5
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
6
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:
7
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
8
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:
9
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
10
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
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