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~isPartOf:"Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Bauwens, Luc"
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Japan"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Aufsatz im Buch"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
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Volatility
7
Volatilität
7
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5
Ankündigungseffekt
4
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Allen, David E.
Andersen, Torben
Bauwens, Luc
Medeiros, Marcelo C.
Bollerslev, Tim
3
Caldeira, João F.
3
Eraker, Bjørn
3
Fleming, Jeff
3
Subrahmanyam, Avanidhar
3
Whaley, Robert E.
3
Ang, Andrew
2
Bali, Turan G.
2
Benzoni, Luca
2
Cakici, Nusret
2
Campbell, John Y.
2
Dumas, Bernard
2
Kirby, Chris
2
Li, Haitao
2
Muir, Tyler
2
Ostdiek, Barbara
2
Pan, Jun
2
Poteshman, Allen M.
2
Stambaugh, Robert F.
2
Titman, Sheridan
2
Wu, Liuren
2
Ackermann, Carl
1
Adam, Klaus
1
Adrian, Tobias
1
Alizadeh, Sassan
1
Almeida, Caio
1
An, Byeong-Je
1
Antweiler, Werner
1
Ané, Thierry
1
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Bakshi, Gurdip S.
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1
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1
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Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
The journal of finance : the journal of the American Finance Association
Working paper / National Bureau of Economic Research, Inc.
14
CORE discussion papers : DP
10
Journal of econometrics
7
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
7
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6
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6
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5
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5
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5
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4
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3
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3
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3
International journal of forecasting
3
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3
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3
Applied economics
2
Econometric reviews
2
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Foreign exchange markets
2
Global COE Hi-Stat discussion paper series
2
International economic review
2
Journal of risk and financial management : JRFM
2
LIDAM discussion paper CORE
2
The North American journal of economics and finance : a journal of financial economics studies
2
Tinbergen Institute Discussion Paper
2
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2
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1
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1
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1
Cardiff economics working papers
1
Department of Economics discussion paper series / University of Oxford
1
Economics discussion papers
1
Emerging markets and the global economy
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
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ECONIS (ZBW)
7
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1
The high-frequency impact of macroeconomic announcements on the Brazilian futures markets
Garcia, Márcio Gomes Pinto
;
Medeiros, Marcelo C.
; …
- In:
Brazilian review of econometrics : BRE ; the review of …
36
(
2016
)
2
,
pp. 185-222
Persistent link: https://www.econbiz.de/10011644164
Saved in:
2
Short-term market risks implied by weekly options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
The journal of finance : the journal of the American …
72
(
2017
)
3
,
pp. 1335-1386
Persistent link: https://www.econbiz.de/10011738723
Saved in:
3
Do bonds span
volatility
risk in the US treasury market? : a specification test for affine term structure models
Andersen, Torben
;
Benzoni, Luca
- In:
The journal of finance : the journal of the American …
65
(
2010
)
2
,
pp. 603-653
Persistent link: https://www.econbiz.de/10003962242
Saved in:
4
An empirical investigation of continuous-time equity return models
Andersen, Torben
;
Benzoni, Luca
;
Lund, Jesper
- In:
The journal of finance : the journal of the American …
57
(
2002
)
3
,
pp. 1239-1284
Persistent link: https://www.econbiz.de/10001684993
Saved in:
5
Variance-ratio statistics and high-frequency data : testing for changes in intraday
volatility
patterns
Andersen, Torben
;
Bollerslev, Tim
;
Das, Ashish
- In:
The journal of finance : the journal of the American …
56
(
2001
)
1
,
pp. 305-327
Persistent link: https://www.econbiz.de/10001575072
Saved in:
6
Deutsche Mark-dollar
volatility
: intraday activity patterns, macroeconomic announcements and longer run dependencies
Andersen, Torben
- In:
The journal of finance : the journal of the American …
53
(
1998
)
1
,
pp. 219-265
Persistent link: https://www.econbiz.de/10001235487
Saved in:
7
Heterogeneous information arrivals and return
volatility
dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
- In:
The journal of finance : the journal of the American …
52
(
1997
)
3
,
pp. 975-1005
Persistent link: https://www.econbiz.de/10001225624
Saved in:
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