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~person:"Corsi, Fulvio"
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Search: subject:"threshold estimation"
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threshold estimation
4
volatility forecasting
4
Financial markets
2
Jump detection
2
Threshold estimation
2
Volatility estimation
2
Volatility forecasting
2
bipower variation
2
bond
2
financial markets
2
jump detection
2
jumps
2
stock
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volatility estimation
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Corsi, Fulvio
Fernández-Amador, Octavio
6
Francois, Joseph F.
6
Pirino, Davide
6
Tomberger, Patrick
6
Oberdabernig, Doris A.
5
Straubhaar, Thomas
4
Suhrcke, Marc
4
Aisyah Abdul Rahman
3
Greb, Friederike
3
Krivobokova, Tatyana
3
Munk, Axel
3
Renò, Roberto
3
Tamat Sarmidi
3
Zulkefly Abdul Karim
3
Asai, Manabu
2
Barnes, Michelle L.
2
Carter, Michael R.
2
Cook, Steven
2
Cramon-Taubadel, Stephan von
2
Khalifa, Sherif
2
Lybbert, Travis J.
2
Mancini, Cecilia
2
McAleer, Michael
2
Nizam, Rosmah
2
Olivei, Giovanni P.
2
Pan, Huiran
2
Pédussel Wu, Jennifer
2
Reno, Roberto
2
Rosmah Nizam
2
Serranito, Francisco
2
Urban, Dieter
2
Urban, Dieter M.
2
Vasicek, Borek
2
Vašíček, Bořek
2
Volpe Martincus, Christian
2
Wang, Bin
2
Wang, Chun
2
Adachi, Kenji
1
Alagidede, Imhotep Paul
1
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HAL
2
Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin"
1
Institute of Economic Research, Hitotsubashi University
1
Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna
1
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Department of Economics University of Siena
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Global COE Hi-Stat Discussion Paper Series
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RePEc
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EconStor
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio
;
Pirino, Davide
;
Renò, Roberto
-
HAL
-
2010
threshold
estimation
. We show that its generalization (threshold multipower variation) admits a feasible central limit theorem …
Persistent link: https://www.econbiz.de/10010899244
Saved in:
2
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio
;
Pirino, Davide
;
Renò, Roberto
-
HAL
-
2010
threshold
estimation
. We show that its generalization (threshold multipower variation) admits a feasible central limit theorem …
Persistent link: https://www.econbiz.de/10010821082
Saved in:
3
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio
;
Pirino, Davide
;
Reno, Roberto
-
2010
threshold
estimation
. We show that its generalization (threshold multipower variation) admits a feasible central limit theorem …
Persistent link: https://www.econbiz.de/10010328432
Saved in:
4
Threshold Bipower Variation and the Impact of Jumps on Volatility Forecasting
Corsi, Fulvio
;
Pirino, Davide
;
Reno', Roberto
-
Laboratory of Economics and Management (LEM), Scuola …
-
2010
threshold
estimation
. We show that its generalization (threshold multipower vari- ation) admits a feasible central limit theorem …
Persistent link: https://www.econbiz.de/10008550139
Saved in:
5
Volatility Forecasting: The Jumps Do Matter
Corsi, Fulvio
;
Pirino, Davide
;
Reno, Roberto
-
Institute of Economic Research, Hitotsubashi University
-
2009
based on the joint use of bipower variation and
threshold
estimation
. With respect to alternative methods, our TMPV …
Persistent link: https://www.econbiz.de/10005784004
Saved in:
6
Volatility forecasting: the jumps do matter
Corsi, Fulvio
;
Pirino, Davide
;
Renò, Roberto
-
Dipartimento di Economia Politica e Statistics, …
-
2008
based on the joint use of bipower variation and
threshold
estimation
. With respect to alternative methods, our TMPV …
Persistent link: https://www.econbiz.de/10005766526
Saved in:
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