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~isPartOf:"Econometric theory"
~isPartOf:"Working papers / Financial Institutions Center"
~person:"Allen, David E."
~person:"Andersen, Torben"
~person:"Christiansen, Charlotte"
~person:"Medeiros, Marcelo C."
~person:"Strahan, Philip E."
~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
8
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8
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4
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3
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3
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3
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Allen, David E.
Andersen, Torben
Christiansen, Charlotte
Medeiros, Marcelo C.
Strahan, Philip E.
Diebold, Francis X.
9
Bollerslev, Tim
5
Christoffersen, Peter F.
3
Hurvich, Clifford M.
2
Taylor, Robert
2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Gonçalves, Sílvia
1
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1
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1
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1
Kim, Woocheol
1
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1
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1
Li, Dong
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Strasser, Georg H.
1
Tay, Anthony S. A.
1
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1
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10
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7
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6
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1
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ECONIS (ZBW)
8
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1
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:
2
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:
3
Managing bank liquidity risk : how deposit-loan synergies vary with market conditions
Gatev, Evan G.
(
contributor
);
Schuermann, Til
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003337380
Saved in:
4
Roughing it up : including jump components in the measurement, modeling and forecasting of return
volatility
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003586300
Saved in:
5
A framework for exploring the macroeconomic determinants of systematic risk
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
; …
-
2005
Persistent link: https://www.econbiz.de/10002636085
Saved in:
6
Volatility
forecasting
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10002636128
Saved in:
7
Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return
volatility
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001899970
Saved in:
8
Parametric and nonparametric
volatility
measurement
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001685965
Saved in:
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