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subject:"Volatility"
~isPartOf:"Journal of econometrics"
~isPartOf:"NBER Working Paper"
~person:"Todorov, Viktor"
~subject:"Großbritannien"
~subject:"Prognoseverfahren"
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Volatility
Großbritannien
Prognoseverfahren
Estimation
15
Schätzung
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Volatilität
13
Stochastic process
9
Stochastischer Prozess
9
Börsenkurs
8
Capital income
8
Estimation theory
8
Kapitaleinkommen
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Schätztheorie
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Share price
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High-frequency data
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Time series analysis
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Stochastic volatility
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Option pricing theory
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Optionspreistheorie
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Aktienindex
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Beta risk
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Adaptive estimation
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Induktive Statistik
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Jumps
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Laplace transform
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Todorov, Viktor
Bollerslev, Tim
12
Diebold, Francis X.
7
Tauchen, George Eugene
7
Bekaert, Geert
6
Andersen, Torben
5
Kim, Donggyu
5
Li, Jia
5
Aghion, Philippe
4
Andersen, Torben G.
4
Aït-Sahalia, Yacine
4
Cecchetti, Stephen G.
4
Engle, Robert F.
4
Ghysels, Eric
4
Lettau, Martin
4
Santa-Clara, Pedro
4
Schorfheide, Frank
4
Valkanov, Rossen I.
4
Ang, Andrew
3
Barsky, Robert
3
Bloom, Nicholas
3
Blundell, Richard W.
3
Cheung, Yin-Wong
3
Creal, Drew
3
Fan, Jianqing
3
Francq, Christian
3
Gallo, Giampiero M.
3
Haskel, Jonathan
3
Ito, Takatoshi
3
Ludvigson, Sydney C.
3
McAleer, Michael
3
Moffitt, Robert A.
3
Patton, Andrew J.
3
Slaughter, Matthew J.
3
Song, Dongho
3
Taylor, Robert
3
Van Reenen, John
3
Wang, Yazhen
3
West, Kenneth D.
3
Wu, Jing Cynthia
3
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Journal of econometrics
NBER Working Paper
Journal of financial economics
4
ERID working paper
3
CREATES research paper
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economic Research Initiatives at Duke (ERID) Working Paper
2
Quantitative economics : QE ; journal of the Econometric Society
2
CREATES Research Paper
1
Econometric theory
1
Journal of applied econometrics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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ECONIS (ZBW)
14
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
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
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:
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
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
6
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
7
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
8
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
9
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
10
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
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