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subject:"Volatility"
type_genre:"Article in journal"
~person:"Kumar, Dilip"
~person:"Song, Yuping"
~subject:"Exchange rate"
~type_genre:"Conference paper"
~type_genre:"Konferenzschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
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Estimation theory
21
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12
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11
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Kumar, Dilip
Song, Yuping
Maheswaran, S.
14
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
11
Bollerslev, Tim
8
Liu, Zhi
8
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8
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7
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7
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7
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7
Mykland, Per A.
7
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6
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5
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5
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5
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5
Jing, Bingyi
5
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5
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5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arize, Augustine Chuck
4
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
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4
Diebold, Francis X.
4
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4
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4
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4
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4
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Nolte, Ingmar
4
Park, Joon Y.
4
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4
Russell, Jeffrey R.
4
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4
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4
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2
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2
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2
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International journal of financial engineering
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Robust nonparametric estimation for the volatility of financial market
Kao, Chunyu
;
Song, Yuping
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014251158
Saved in:
2
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
3
Nonparametric estimation for second-order jump-diffusion model in high frequency data
Song, Yuping
- In:
The Singapore economic review : journal of the Economic …
65
(
2020
)
4
,
pp. 1033-1063
Persistent link: https://www.econbiz.de/10012509634
Saved in:
4
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
5
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
6
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
7
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
8
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
9
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
10
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
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