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~person:"Bollerslev, Tim"
~person:"Wray, L. Randall"
~subject:"High-frequency data"
~type:"article"
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High-frequency data
Volatility
57
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57
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34
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30
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30
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28
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27
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Bollerslev, Tim
Wray, L. Randall
Todorov, Viktor
11
Li, Jia
8
Tauchen, George Eugene
8
Papavassiliou, Vassilios G.
5
Ben Omrane, Walid
4
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3
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3
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3
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3
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3
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3
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3
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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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Journal of econometrics
4
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2
Economics letters
1
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1
Journal of Financial Economics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
9
RePEc
2
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1
High-dimensional multivariate realized
volatility
estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
2
Volume,
volatility
, and public news announcements
Bollerslev, Tim
;
Li, Jia
;
Xue, Yuan
- In:
The review of economic studies
85
(
2018
)
4/305
,
pp. 2005-2041
Persistent link: https://www.econbiz.de/10012263342
Saved in:
3
Equity clusters through the lens of realized semicorrelations
Bollerslev, Tim
;
Patton, Andrew J.
;
Zhang, Haozhe
- In:
Economics letters
211
(
2022
),
pp. 1-5
Persistent link: https://www.econbiz.de/10013172536
Saved in:
4
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
5
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
6
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
7
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
8
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of Econometrics
172
(
2013
)
2
,
pp. 307-324
diffusive
volatility
account for the “extreme” joint dependencies observed at the daily level. …
Persistent link: https://www.econbiz.de/10011052337
Saved in:
9
Roughing up beta : continuous versus discontinuous betas and the cross section of expected stock returns
Bollerslev, Tim
;
Li, Sophia Zhengzi
;
Todorov, Viktor
- In:
Journal of financial economics
120
(
2016
)
3
,
pp. 464-490
Persistent link: https://www.econbiz.de/10011590229
Saved in:
10
Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim
;
Osterrieder, Daniela
;
Sizova, Natalia
; …
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
Saved in:
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