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subject:"Volatility"
type_genre:"Article in journal"
~person:"Hafner, Christian M."
~person:"Koopman, Siem Jan"
~person:"Li, Jia"
~person:"Sucarrat, Genaro"
~subject:"Autoregressive conditional duration"
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Search: subject_exact:"Estimation theory"
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Volatility
Autoregressive conditional duration
Estimation theory
47
Schätztheorie
47
Time series analysis
28
Zeitreihenanalyse
28
Volatilität
25
Estimation
16
Schätzung
16
Börsenkurs
12
Share price
12
ARCH model
11
ARCH-Modell
11
Capital income
9
Kapitaleinkommen
9
Stochastic process
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Stochastischer Prozess
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6
Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Nichtparametrisches Verfahren
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Nonparametric statistics
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High-frequency data
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Multivariate Analyse
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Multivariate analysis
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Correlation
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Stochastic volatility
4
Theorie
4
Theory
4
Consistency
3
Kalman filter
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3
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26
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Article in journal
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English
26
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Hafner, Christian M.
Koopman, Siem Jan
Li, Jia
Sucarrat, Genaro
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Tauchen, George Eugene
10
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
Liu, Zhi
7
Mykland, Per A.
7
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Jing, Bingyi
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Hwang, Eunju
4
Li, Wai Keung
4
Lucas, André
4
Mancino, Maria Elvira
4
McAleer, Michael
4
Nolte, Ingmar
4
Park, Joon Y.
4
Rodriguez, Gabriel
4
Shin, Dong-wan
4
Silvennoinen, Annastiina
4
Song, Yuping
4
Taylor, James W.
4
Wang, Jying-Nan
4
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Journal of econometrics
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
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
International journal of forecasting
2
Econometric reviews
1
Economics letters
1
Energy economics
1
Finance and stochastics
1
Journal of applied econometrics
1
Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
26
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1
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:
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
Saved in:
3
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:
4
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:
5
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
6
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
7
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
8
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
9
Identification of volatility proxies as expectations of squared financial returns
Sucarrat, Genaro
- In:
International journal of forecasting
37
(
2021
)
4
,
pp. 1677-1690
Persistent link: https://www.econbiz.de/10013274330
Saved in:
10
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
- In:
Energy economics
74
(
2018
),
pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
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