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~person:"Ghysels, Eric"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Bibliography included"
~type_genre:"Konferenzschrift"
~type_genre:"Statistik"
~type_genre:"Übersichtsarbeit"
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Volatility
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22
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20
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14
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Ghysels, Eric
McAleer, Michael
33
Bollerslev, Tim
29
Andersen, Torben
26
Gupta, Rangan
26
Kumar, Dilip
26
Todorov, Viktor
26
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23
Zhang, Jin E.
23
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22
Carr, Peter
21
Cui, Zhenyu
21
Wang, Yudong
20
Benth, Fred Espen
18
Fabozzi, Frank J.
18
Mensi, Walid
18
Asai, Manabu
17
Hammoudeh, Shawkat
17
Li, Jia
17
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17
Aït-Sahalia, Yacine
16
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16
Fouque, Jean-Pierre
16
Maheswaran, S.
16
Wang, Xingchun
16
Kang, Sang Hoon
15
Renault, Eric
15
Renò, Roberto
15
Bali, Turan G.
14
Caporin, Massimiliano
14
Chiarella, Carl
14
Elliott, Robert J.
14
Madan, Dilip B.
14
Takahashi, Akihiko
14
Bouri, Elie
13
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13
Lin, Shih-kuei
13
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13
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13
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3
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3
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2
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1
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ECONIS (ZBW)
14
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1
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14
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1
Moment-implied densities : properties and applications
Ghysels, Eric
;
Wang, Fangfang
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
Saved in:
2
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
3
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
4
Midas regressions : further results and new directions
Ghysels, Eric
;
Sinko, Arthur
;
Valkanov, Rossen I.
- In:
Econometric reviews
26
(
2007
)
1
,
pp. 53-90
Persistent link: https://www.econbiz.de/10003509012
Saved in:
5
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
6
HYBRID GARCH models and intra-daily return periodicity
Chen, Xilong
;
Ghysels, Eric
;
Wang, Fangfang
- In:
Journal of time series econometrics
3
(
2011
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10009623573
Saved in:
7
Volatility forecasting and microstructure noise
Ghysels, Eric
;
Sinko, Arthur
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
Saved in:
8
Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 363-376
Persistent link: https://www.econbiz.de/10001695282
Saved in:
9
Special issue on "Multivariate volatility models"
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003907531
Saved in:
10
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
Chernov, Mikhail
;
Ghysels, Eric
- In:
Journal of financial economics
56
(
2000
)
3
,
pp. 407-458
Persistent link: https://www.econbiz.de/10001483311
Saved in:
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