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~isPartOf:"China economic review : an international journal"
~isPartOf:"Journal of econometrics"
~isPartOf:"KAIST College of Business Working Paper Series"
~person:"Barigozzi, Matteo"
~person:"Bollerslev, Tim"
~person:"Kim, Donggyu"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Schätztheorie"
~subject:"United States"
~subject:"Volatility"
~subject:"Volatilität"
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Maximum-Likelihood-Schätzung
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19
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19
Time series analysis
12
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Barigozzi, Matteo
Bollerslev, Tim
Kim, Donggyu
Todorov, Viktor
14
Slottje, Daniel Jonathan
8
Tauchen, George Eugene
8
Gao, Jiti
6
Li, Jia
6
Linton, Oliver
6
Park, Joon Y.
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5
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Koop, Gary
4
Lu, Xun
4
McAleer, Michael
4
Pesaran, M. Hashem
4
Sasaki, Yuya
4
Su, Liangjun
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Wang, Fa
4
Wang, Yazhen
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Zakoïan, Jean-Michel
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Hsiao, Cheng
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3
Kao, Chihwa
3
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3
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China economic review : an international journal
Journal of econometrics
KAIST College of Business Working Paper Series
Finance and economics discussion series
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Working paper / National Bureau of Economic Research, Inc.
6
Journal of financial economics
5
CFS working paper series
4
CREATES research paper
4
NBER Working Paper
4
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4
The journal of finance : the journal of the American Finance Association
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
LEM working paper series
3
The review of economics and statistics
3
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3
ECARES working paper
2
ERID working paper
2
Journal of empirical finance
2
Journal of financial econometrics
2
KAIST College of Business Working Paper Series No
2
The review of financial studies
2
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2
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1
American Economic Review papers and proceedings
1
American economic review
1
CREATES Research Paper
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
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1
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1
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1
Discussion paper series / School of Economics and Finance, the University of Hong Kong
1
Econometric analysis of financial and economic time series ; part B
1
Econometrics : open access journal
1
Economic Research Initiatives at Duke (ERID) Working Paper
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FEDS Working Paper
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Financial markets and asset pricing
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Handbook of economic forecasting ; 1
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1
Estimating stochastic volatility diffusion using conditional moments of integrated volatility
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
109
(
2002
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10001663892
Saved in:
2
Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor
;
Bollerslev, Tim
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
Saved in:
3
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Barigozzi, Matteo
;
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 364-384
Persistent link: https://www.econbiz.de/10010497747
Saved in:
4
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
5
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
6
Large-dimensional dynamic factor models :
estimation
of impulse–response functions with I(1) cointegrated factors
Barigozzi, Matteo
;
Lippi, Marco
;
Luciani, Matteo
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 455-482
Persistent link: https://www.econbiz.de/10012619245
Saved in:
7
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
8
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
9
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:
10
Structured volatility matrix
estimation
for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
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