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~accessRights:"restricted"
~person:"Bahmani-Oskooee, Mohsen"
~person:"Gil-Alaña, Luis A."
~person:"Todorov, Viktor"
~subject:"Kointegration"
~subject:"Time series analysis"
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Search: subject_exact:"Volatility"
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Kointegration
Time series analysis
Volatility
68
Volatilität
68
Estimation
45
Schätzung
45
Exchange rate
34
Wechselkurs
34
Börsenkurs
16
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16
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International economic relations
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Internationale Wirtschaftsbeziehungen
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High-frequency data
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Option pricing theory
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Optionspreistheorie
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Bahmani-Oskooee, Mohsen
Gil-Alaña, Luis A.
Todorov, Viktor
Gupta, Rangan
16
Ma, Feng
13
Li, Jia
11
McAleer, Michael
11
Tiwari, Aviral Kumar
9
Chan, Joshua
8
Wei, Yu
8
Degiannakis, Stavros
7
Nonejad, Nima
7
Poon, Aubrey
7
Bollerslev, Tim
6
Caporin, Massimiliano
6
Cross, Jamie
6
Hallin, Marc
6
Kim, Donggyu
6
Li, Yingying
6
Marcellino, Massimiliano
6
Mensi, Walid
6
Rodriguez, Gabriel
6
Tauchen, George Eugene
6
Wohar, Mark E.
6
Asai, Manabu
5
Chang, Chia-Lin
5
Hammoudeh, Shawkat
5
Jawadi, Fredj
5
Kim, Jong-Min
5
Kumar, Dilip
5
Liu, Xiaoquan
5
Liu, Zhi
5
Patton, Andrew J.
5
Shi, Yanlin
5
Taylor, Robert
5
Wang, Yudong
5
Al-Yahyaee, Khamis Hamed
4
Andersen, Torben
4
Balcilar, Mehmet
4
Barigozzi, Matteo
4
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Journal of econometrics
6
Applied economics quarterly
2
Finance research letters
2
International review of economics & finance : IREF
2
Journal of economics and finance
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic systems
1
Empirica : journal of european economics
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Research in international business and finance
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The North American journal of economics and finance : a journal of financial economics studies
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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
Measuring volatility persistence in leveraged loan markets in the presence of structural breaks
Abakah, Emmanuel Joel Aikins
;
Gil-Alaña, Luis A.
; …
- In:
International review of economics & finance : IREF
78
(
2022
),
pp. 141-152
Persistent link: https://www.econbiz.de/10013334550
Saved in:
4
True or spurious long memory in the cryptocurrency markets : evidence from a multivariate test and other Whittle estimation methods
Assaf, Ata
;
Gil-Alaña, Luis A.
;
Mokni, Khaled
- In:
Empirical economics : a quarterly journal of the …
63
(
2022
)
3
,
pp. 1543-1570
Persistent link: https://www.econbiz.de/10013440392
Saved in:
5
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:
6
Exchange rate volatility and domestic consumption in the G7 : an asymmetric analysis
Bahmani-Oskooee, Mohsen
;
Baek, Jungho
- In:
Applied economics quarterly
67
(
2021
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10013165459
Saved in:
7
A fractional cointegration var analysis of exchange rate dynamics
Gil-Alaña, Luis A.
;
Carcel, Hector
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012658798
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8
Volatility persistence in the Russian stock market
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
; …
- In:
Finance research letters
32
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012430826
Saved in:
9
High and low prices and the range in the European stock markets : a long-memory approach
Caporale, Guglielmo Maria
;
Gil-Alaña, Luis A.
;
Poza, Carlos
- In:
Research in international business and finance
52
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012543286
Saved in:
10
Volatility persistence in cryptocurrency markets under structural breaks
Abakah, Emmanuel Joel Aikins
;
Gil-Alaña, Luis A.
; …
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 680-691
Persistent link: https://www.econbiz.de/10012487193
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