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~person:"Andersen, Torben"
~person:"Christoffersen, Peter F."
~person:"Martin, Gael M."
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"United States"
~type_genre:"Aufsatz im Buch"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
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ARCH model
Börsenkurs
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United States
Volatilität
115
Volatility
112
Theorie
47
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47
Prognoseverfahren
40
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38
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36
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31
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Andersen, Torben
Christoffersen, Peter F.
Martin, Gael M.
Medeiros, Marcelo C.
McAleer, Michael
125
Caporale, Guglielmo Maria
58
Chang, Chia-Lin
56
Gupta, Rangan
51
Bollerslev, Tim
35
Hautsch, Nikolaus
34
Spagnolo, Nicola
31
Lux, Thomas
29
Diebold, Francis X.
26
Davis, Steven J.
24
Koopman, Siem Jan
24
Pierdzioch, Christian
22
Asai, Manabu
20
Härdle, Wolfgang
20
Haltiwanger, John C.
19
Bloom, Nicholas
18
Hafner, Christian M.
18
Allen, David E.
17
Herwartz, Helmut
17
Mittnik, Stefan
17
Bauwens, Luc
16
Conrad, Christian
16
Dijk, Dick van
16
Teräsvirta, Timo
16
Bekaert, Geert
15
Christiansen, Charlotte
15
Engle, Robert F.
15
Fernández-Villaverde, Jesús
15
Kočenda, Evžen
15
Gil-Alaña, Luis A.
14
Hale, Galina
13
Karanasos, Menelaos
13
Lettau, Martin
13
Lucas, André
13
Neely, Christopher J.
13
Silvennoinen, Annastiina
13
Spagnolo, Fabio
13
Tong, Hui
13
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12
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9
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ECONIS (ZBW)
58
EconStor
1
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1
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
2
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
3
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
4
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
5
Inference on self-exciting jumps in prices and
volatility
using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
6
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
7
Time-varying periodicity in intraday
volatility
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797522
Saved in:
8
Short-term market risks implied by weekly options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797670
Saved in:
9
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
10
Intraday trading invariance in the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2016
Persistent link: https://www.econbiz.de/10011633490
Saved in:
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