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~isPartOf:"Discussion paper"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~person:"Andersen, Torben"
~person:"Bayar, Aslı"
~person:"Bollerslev, Tim"
~person:"Liao, Yin"
~person:"Medeiros, Marcelo C."
~subject:"Measurement"
~subject:"Messung"
~subject:"Prognoseverfahren"
~subject:"Statistical distribution"
~subject:"Theory"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Measurement
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Statistical distribution
Theory
Volatility
17
Volatilität
17
Theorie
10
Capital income
9
Kapitaleinkommen
9
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5
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5
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5
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5
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4
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1953-1996
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9
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10
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Andersen, Torben
Bayar, Aslı
Bollerslev, Tim
Liao, Yin
Medeiros, Marcelo C.
Aizenman, Joshua
8
Diebold, Francis X.
8
Aït-Sahalia, Yacine
5
Engel, Charles
5
Rose, Andrew
5
Bekaert, Geert
4
Campbell, John Y.
4
Hall, Robert Ernest
4
Agénor, Pierre-Richard
3
Bates, David S.
3
Caballero, Ricardo J.
3
Chaudhuri, Shubham
3
Christoffersen, Peter F.
3
Cochrane, John H.
3
Engle, Robert F.
3
Farmer, Roger E. A.
3
Gertler, Mark
3
Giglio, Stefano
3
Lazear, Edward P.
3
McLaren, John D.
3
Acemoglu, Daron
2
Altonji, Joseph G.
2
Anderson, Torben G.
2
Ang, Andrew
2
Balaban, Ercan
2
Bansal, Ravi
2
Benigno, Gianluca
2
Bertola, Giuseppe
2
Boeters, Stefan
2
Brandt, Michael W.
2
Calvet, Laurent E.
2
Chari, Varadarajan V.
2
Christiano, Lawrence J.
2
Das, Sanjiv R.
2
De Paoli, Bianca
2
Devereux, Michael B.
2
Fernández-Villaverde, Jesús
2
Flood, Robert P.
2
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Discussion paper
Working paper / National Bureau of Economic Research, Inc.
CREATES research paper
7
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
6
ERID working paper
4
Working papers / Financial Institutions Center
4
CFS working paper series
3
Econometric Institute research papers
3
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3
Working paper
3
International finance discussion papers
2
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2
Texto para discussão
2
Working papers / Rodney L. White Center for Financial Research
2
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1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper / Centre for Economic Policy Research
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Finance and economics discussion series
1
Global COE Hi-Stat discussion paper series
1
Technical working paper / National Bureau of Economic Research
1
Working paper / Department of Econometrics and Business Statistics, Monash University
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
Working papers / Federal Reserve Bank of Chicago
1
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ECONIS (ZBW)
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date (oldest first)
1
Volatility
forecasting
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10002685057
Saved in:
2
Roughing it up : including jump components in the measurement, modeling and forecasting of return
volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2005
Persistent link: https://www.econbiz.de/10003217674
Saved in:
3
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009539803
Saved in:
4
The distribution of stock return
volatility
Andersen, Torben
(
contributor
)
-
2000
Persistent link: https://www.econbiz.de/10001519326
Saved in:
5
Exchange rate returns standardized by realized
volatility
are (nearly) Gaussian
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2000
Persistent link: https://www.econbiz.de/10001440693
Saved in:
6
Modeling and forecasting realized
volatility
Andersen, Torben
(
contributor
)
-
2001
Persistent link: https://www.econbiz.de/10001561837
Saved in:
7
Asymmetric
volatility
clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets
Balaban, Ercan
;
Bayar, Aslı
;
Kan, Özgür Berk
-
1999
Persistent link: https://www.econbiz.de/10001399859
Saved in:
8
Testing for market microstructure effects in intraday
volatility
: a reassessment of the Tokyo FX experiment
Anderson, Torben G.
;
Bollerslev, Tim
;
Das, Ashish
-
1998
Persistent link: https://www.econbiz.de/10000673940
Saved in:
9
Answering the critics : yes, arch models do provide good
volatility
forecasts
Andersen, Torben
;
Bollerslev, Tim
-
1997
Persistent link: https://www.econbiz.de/10000627888
Saved in:
10
Heterogeneous information arrivals and return
volatility
dynamics : uncovering the long-run in high frequency returns
Andersen, Torben
;
Bollerslev, Tim
-
1996
Persistent link: https://www.econbiz.de/10000603372
Saved in:
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