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~isPartOf:"Econometric theory"
~isPartOf:"Working paper"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Christiansen, Charlotte"
~person:"Medeiros, Marcelo C."
~person:"Zhang, Lan"
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Japan"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammelwerk"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
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Volatility
16
Volatilität
16
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5
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5
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4
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4
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4
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4
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2
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1983-1998
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Allen, David E.
Andersen, Torben
Christiansen, Charlotte
Medeiros, Marcelo C.
Zhang, Lan
McAleer, Michael
28
Mumtaz, Haroon
13
Neely, Christopher J.
13
Chang, Chia-Lin
10
Manera, Matteo
8
Guo, Hui
7
Nguyen, Hoang
6
Raunig, Burkhard
5
Theodoridis, Konstantinos
5
Kapetanios, George
4
Roengchai Tansuchat
4
Asai, Manabu
3
Baker, Scott
3
Bastianin, Andrea
3
Bloom, Nicholas
3
Chen, Chi-chung
3
Davis, Steven J.
3
Erdemlioglu, Deniz
3
Escribano, Álvaro
3
Hammoudeh, Shawkat
3
Karlsson, Sune
3
Laurent, Sébastien
3
Nicolini, Marcella
3
Piger, Jeremy Max
3
Skiadopoulos, George
3
Wen, Yi
3
Österholm, Pär
3
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2
Baillie, Richard
2
Baldi, Lucia
2
Białkowski, Je̜drzej
2
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2
Blazsek, Szabolcs
2
Caporin, Massimiliano
2
Chen, Ping-yu
2
Clark, Todd E.
2
Dvorkin, Maximiliano A.
2
Feldkircher, Martin
2
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2
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15
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10
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7
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7
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6
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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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3
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3
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3
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2
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2
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2
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2
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2
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2
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2
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1
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1
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1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
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1
Discussion Paper Series 1
1
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1
European financial management : the journal of the European Financial Management Association
1
Finance research letters
1
Handbook of economic forecasting ; Vol. 1
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ECONIS (ZBW)
9
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1
Asymmetry and long memory in
volatility
modelling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695596
Saved in:
2
A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Econometric theory
30
(
2014
)
1
,
pp. 3-59
Persistent link: https://www.econbiz.de/10010399788
Saved in:
3
Realized
volatility
when sampling times are possibly endogenous
Li, Yingying
;
Mykland, Per A.
;
Renault, Eric
;
Zhang, Lan
; …
- In:
Econometric theory
30
(
2014
)
3
,
pp. 580-605
Persistent link: https://www.econbiz.de/10010500887
Saved in:
4
Modeling multiple regimes in financial
volatility
with a flexible coefficient GARCH (1,1) model
Medeiros, Marcelo C.
;
Veiga, Alvaro
- In:
Econometric theory
25
(
2009
)
1
,
pp. 117-161
Persistent link: https://www.econbiz.de/10003816219
Saved in:
5
Volatility
-spillover effects in European bond markets
Christiansen, Charlotte
-
2003
Persistent link: https://www.econbiz.de/10001848445
Saved in:
6
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
-
2002
Persistent link: https://www.econbiz.de/10001721479
Saved in:
7
Revisiting the shape of the yield curve : the effect of interest rate
volatility
Christiansen, Charlotte
;
Lund, Jesper
-
2002
Persistent link: https://www.econbiz.de/10001683214
Saved in:
8
Implied
volatility
of interest rate options : an empirical investigation of the market model
Christiansen, Charlotte
;
Strunk Hansen, Charlotte
-
2000
Persistent link: https://www.econbiz.de/10001453874
Saved in:
9
Macroeconomic announcement effects on the covariance structure of bond returns
Christiansen, Charlotte
-
1999
Persistent link: https://www.econbiz.de/10001411173
Saved in:
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