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~accessRights:"restricted"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Bauwens, Luc"
~person:"Caporin, Massimiliano"
~person:"Medeiros, Marcelo C."
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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Search: subject:"Volatility"
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Volatility
39
Volatilität
39
Capital income
17
Kapitaleinkommen
17
Time series analysis
16
Zeitreihenanalyse
16
Forecasting model
15
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Ankündigungseffekt
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Induktive Statistik
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Allen, David E.
Andersen, Torben
Bauwens, Luc
Caporin, Massimiliano
Medeiros, Marcelo C.
Gupta, Rangan
135
Ma, Feng
89
Bouri, Elie
85
Tiwari, Aviral Kumar
58
Zhang, Yaojie
42
Hammoudeh, Shawkat
41
Mensi, Walid
41
Wohar, Mark E.
39
Kang, Sang Hoon
38
Wang, Yudong
38
Liang, Chao
37
Xuan Vinh Vo
36
Lucey, Brian M.
35
Pierdzioch, Christian
35
Bahmani-Oskooee, Mohsen
34
Ji, Qiang
34
Roubaud, David
34
Wei, Yu
34
Balcilar, Mehmet
33
Corbet, Shaen
33
Demirer, Rıza
33
McAleer, Michael
28
Salisu, Afees A.
28
Shahzad, Syed Jawad Hussain
28
Yin, Libo
27
Lau, Chi Keung
26
Kumar, Dilip
25
Jawadi, Fredj
24
Umar, Zaghum
24
Gillas, Konstantinos Gkillas
23
Serletis, Apostolos
22
Todorov, Viktor
22
Wen, Fenghua
22
Wu, Xinyu
22
Zhu, Huiming
22
Lee, Chien-chiang
21
Wang, Jiqian
21
Wang, Lu
21
Xiong, Xiong
21
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20
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Journal of econometrics
11
International review of economics & finance : IREF
5
Applied economics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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2
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2
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Macroeconomic forecasting in the era of big data : theory and practice
1
NBER reporter online
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
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:
2
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
3
The role of jumps in realized
volatility
modeling and forecasting
Caporin, Massimiliano
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1143-1168
Persistent link: https://www.econbiz.de/10014391446
Saved in:
4
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
5
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
6
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
7
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
8
Sign effects of
volatility
and jumps in forex markets and a reappraisal of meteor showers and heat waves
Caporin, Massimiliano
;
Shahzad, Syed Jawad Hussain
- In:
Finance : revue de l'Association Française de Finance
44
(
2023
)
3
,
pp. 154-198
Persistent link: https://www.econbiz.de/10014339837
Saved in:
9
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
Billio, Monica
;
Caporin, Massimiliano
;
Panzica, Roberto …
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 196-223
Persistent link: https://www.econbiz.de/10014343115
Saved in:
10
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
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