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~person:"Christensen, Kim"
~person:"Hafner, Christian M."
~person:"Schmid, Wolfgang"
~person:"Storti, Giuseppe"
~subject:"Analysis of variance"
~subject:"Portfolio selection"
~type_genre:"Aufsatz in Zeitschrift"
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Analysis of variance
Portfolio selection
Varianzanalyse
10
Theorie
7
Theory
7
Portfolio-Management
4
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3
Market microstructure
3
Marktmikrostruktur
3
Schätztheorie
3
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3
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2
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Aufsatz in Zeitschrift
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Christensen, Kim
Hafner, Christian M.
Schmid, Wolfgang
Storti, Giuseppe
Bodnar, Taras
7
Gribisch, Bastian
5
Herrmann, Andreas
5
Patton, Andrew J.
5
Chiu, Wan-Yi
4
De Nard, Gianluca
4
Hansen, Peter Reinhard
4
Hartkopf, Jan Patrick
4
Herwartz, Helmut
4
Lunde, Asger
4
Oomen, Roel C. A.
4
Bandi, Federico M.
3
Bauwens, Luc
3
Bollerslev, Tim
3
Fengler, Matthias
3
Golosnoy, Vasyl
3
Grobys, Klaus
3
Gupta, Rangan
3
Huber, Frank
3
Kim, Jae H.
3
Korn, Ralf
3
Laurent, Sébastien
3
Maheu, John M.
3
Podolskij, Mark
3
Rombouts, Jeroen V. K.
3
Russell, Jeffrey R.
3
Santos, André A. P.
3
Sheppard, Kevin
3
Wese Simen, Chardin
3
Wong, Hoi Ying
3
Zheng, Xinghua
3
Amadieu, Paul
2
Andersen, Torben
2
Bai, Jushan
2
Bonato, Matteo
2
Buccheri, Giuseppe
2
Caloia, Francesco Giuseppe
2
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Journal of econometrics
2
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1
Annales d'économie et de statistique
1
Annals of economics and statistics
1
Economics letters
1
European journal of operational research : EJOR
1
Finance and stochastics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
10
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1
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
2
Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras
;
Parolya, Nestor
;
Schmid, Wolfgang
- In:
European journal of operational research : EJOR
266
(
2018
)
1
,
pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
Saved in:
3
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc
;
Braione, Manuela
;
Storti, Giuseppe
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
Saved in:
4
Realised quantile-based estimation of the integrated variance
Christensen, Kim
;
Oomen, Roel
;
Podolskij, Mark
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 74-98
Persistent link: https://www.econbiz.de/10008839938
Saved in:
5
Statistical inference of the efficient frontier for dependent asset returns
Bodnar, Taras
;
Schmid, Wolfgang
;
Zabolotskyy, Taras
- In:
Statistical papers
50
(
2009
)
3
,
pp. 593-604
Persistent link: https://www.econbiz.de/10003844054
Saved in:
6
Bias-correcting the realized range-based variance in the presence of market microstructure noise
Christensen, Kim
;
Podolskij, Mark
;
Vetter, Mathias
- In:
Finance and stochastics
13
(
2009
)
2
,
pp. 239-268
Persistent link: https://www.econbiz.de/10003939513
Saved in:
7
Testing for causality in variance using multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Annales d'économie et de statistique
89
(
2008
),
pp. 215-241
Persistent link: https://www.econbiz.de/10003875586
Saved in:
8
Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema
;
Schmid, Wolfgang
- In:
Advances in statistical analysis : AStA ; a journal of …
91
(
2007
)
2
,
pp. 109-127
Persistent link: https://www.econbiz.de/10003525357
Saved in:
9
A Lagrange multiplier test for causality in variance
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Economics letters
93
(
2006
)
1
,
pp. 137-141
Persistent link: https://www.econbiz.de/10003380170
Saved in:
10
Fourth moment structure of multivariate GARCH models
Hafner, Christian M.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 26-54
Persistent link: https://www.econbiz.de/10002220839
Saved in:
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