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~isPartOf:"CFS working paper series"
~person:"Bauwens, Luc"
~person:"Diebold, Francis X."
~person:"Hendershott, Terrence"
~person:"Herwartz, Helmut"
~subject:"Börsenkurs"
~subject:"Wechselkurs"
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Börsenkurs
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Volatility
10
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Bauwens, Luc
Diebold, Francis X.
Hendershott, Terrence
Herwartz, Helmut
Mittnik, Stefan
9
Hautsch, Nikolaus
6
Paolella, Marc S.
6
Haas, Markus
5
Andersen, Torben
2
Bollerslev, Tim
2
Claessen, Holger
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Bartram, Söhnke M.
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1
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1
Chaliasos, Michaēl
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Félix, Luiz
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Georgarakos, Dimitris
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Groß-Klußmann, Axel
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Hess, Dieter
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Schwartz, Robert A.
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1
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CFS working paper series
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
5
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of finance : the journal of the American Finance Association
1
The review of economic studies
1
Working papers / Department of Economics, Universidad Carlos III de Madrid
1
Working papers / Economics Series / Department of Economics, Universidad Carlos III de Madrid
1
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ECONIS (ZBW)
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Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return
volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2003
-
This version: September 2003
A rapidly growing literature has documented important improvements in
volatility
measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized
volatility
measurements … an easy-to-implement reduced form model for realized
volatility
results in highly significant jump coefficient estimates …
Persistent link: https://www.econbiz.de/10009764770
Saved in:
2
Price pressures
Hendershott, Terrence
;
Menkveld, Albert J.
-
2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory
volatility
in daily stock returns of 0.49%. Price … Risk ; Intermediary ;
Volatility
…
Persistent link: https://www.econbiz.de/10003980637
Saved in:
3
Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return
volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2003
Persistent link: https://www.econbiz.de/10001846702
Saved in:
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