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subject:"Volatility"
type_genre:"Article in journal"
~person:"Zakoïan, Jean-Michel"
~person:"Zheng, Xinghua"
~subject:"Instrumental variables"
~subject:"Integrated volatility"
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Search: subject_exact:"Estimation theory"
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Volatility
Instrumental variables
Integrated volatility
Estimation theory
31
Schätztheorie
31
ARCH model
14
ARCH-Modell
14
Time series analysis
11
Zeitreihenanalyse
11
Theorie
9
Theory
9
Volatilität
8
Estimation
7
Schätzung
7
Börsenkurs
5
Maximum likelihood estimation
5
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Risikomaß
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Risk measure
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Share price
5
Analysis of variance
4
Portfolio selection
4
Portfolio-Management
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Stochastischer Prozess
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Autocorrelation
3
Autokorrelation
3
Capital income
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Kapitaleinkommen
3
Market microstructure
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Market microstructure noise
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Marktmikrostruktur
3
Minimum variance portfolio
3
Noise Trading
3
Noise trading
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Bootstrap approach
2
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Filtered historical simulation
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English
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Zakoïan, Jean-Michel
Zheng, Xinghua
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
10
Florens, Jean-Pierre
9
Chao, John C.
8
Liu, Zhi
8
Newey, Whitney K.
8
Swanson, Norman R.
8
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Horowitz, Joel
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
Hansen, Christian Bailey
6
Wang, Yazhen
6
Andrews, Isaiah
5
Bollerslev, Tim
5
Fan, Jianqing
5
Ghysels, Eric
5
Hafner, Christian M.
5
Hausman, Jerry A.
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Poskitt, Donald Stephen
5
Taylor, Stephen
5
Woutersen, Tiemen
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Breunig, Christoph
4
Carrasco, Marine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Fève, Frédérique
4
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Journal of econometrics
6
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 financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
8
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1
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:
2
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
3
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
4
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
5
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
6
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
7
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
8
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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