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A New Class of Stochastic Vola...
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Asymmetric volatility activity
1
High frequency data Temporal aggregation
1
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1
Laplace transform
1
Monetary policy
1
No-arbitrage
1
Regime-switching model
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Ghysels, Eric
22
Gallant, A. Ronald
19
Tauchen, George
15
Chernov, Mikhail
5
Ronald Gallant, A.
4
Andreou, Elena
3
Hall, Alastair
3
Todorov, Viktor
3
Barnett, William A.
2
Bikbov, Ruslan
2
Bollerslev, Tim
2
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2
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2
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Carrasco, Marine
1
Chalfant, James A.
1
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1
Detemple, Jerome
1
Dittmar, Robert F.
1
Dufour, Jean-Marie
1
Elliott, Graham
1
Engle, Robert F.
1
Fenton, Victor M.
1
Florens, Jean-Pierre
1
Gao, Bin
1
Gerig, Thomas M.
1
Golub, Gene H.
1
Gonzalo, Jesus
1
Gourieroux, Christian
1
Hansen, Lars Peter
1
Hinich, Melvin J.
1
Hsieh, David
1
Hussey, Robert
1
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1
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Journal of Econometrics
Journal of econometrics
105
CIRANO Working Papers
49
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
49
Journal of Business & Economic Statistics
35
Working Papers / Duke University, Department of Economics
35
Discussion paper / Centre for Economic Policy Research
28
NBER working paper series
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
The review of financial studies
22
Working paper / National Bureau of Economic Research, Inc.
20
ERID working paper
19
NBER Working Paper
19
The journal of finance : the journal of the American Finance Association
18
CEPR Discussion Papers
17
Econometric theory
14
Journal of financial economics
14
Economic Research Initiatives at Duke (ERID) Working Paper
13
Journal of empirical finance
13
Discussion papers / CEPR
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
11
The review of economics and statistics
11
Cahier / Département de Sciences Économiques, Université de Montréal
10
NBER Working Papers
10
Journal of Financial Econometrics
9
Journal of Finance
8
Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Working paper / National Bureau of Economic Research, Inc
8
Journal of economic dynamics & control
7
University of Cyprus Working Papers in Economics
7
CREATES Research Papers
6
Econometric Theory
6
Journal of Empirical Finance
6
Journal of financial econometrics
6
Review of Financial Studies
6
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
6
Finance and economics discussion series
5
Journal of Financial Economics
5
Macroeconomic dynamics
5
Staff Report
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1
Alternative models for stock price dynamics
Chernov, Mikhail
;
Ronald Gallant, A.
;
Ghysels, Eric
; …
- In:
Journal of Econometrics
116
(
2003
)
1-2
,
pp. 225-257
Persistent link: https://www.econbiz.de/10005239123
Saved in:
2
Estimation of stochastic volatility models with diagnostics
Gallant, A. Ronald
;
Hsieh, David
;
Tauchen, George
- In:
Journal of Econometrics
81
(
1997
)
1
,
pp. 159-192
Persistent link: https://www.econbiz.de/10005052864
Saved in:
3
Nonparametric estimation of structural models for high-frequency currency market data
Bansal, Ravi
;
Gallant, A. Ronald
;
Hussey, Robert
; …
- In:
Journal of Econometrics
66
(
1995
)
1-2
,
pp. 251-287
Persistent link: https://www.econbiz.de/10005192472
Saved in:
4
Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
Gallant, A. Ronald
;
Hansen, Lars Peter
;
Tauchen, George
- In:
Journal of Econometrics
45
(
1990
)
1-2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10005228744
Saved in:
5
Efficient estimation of general dynamic models with a continuum of moment conditions
Carrasco, Marine
;
Chernov, Mikhail
;
Florens, Jean-Pierre
; …
- In:
Journal of Econometrics
140
(
2007
)
2
,
pp. 529-573
Persistent link: https://www.econbiz.de/10005285984
Saved in:
6
Frontiers of financial econometrics and financial engineering
Ghysels, Eric
;
Tauchen, George
- In:
Journal of Econometrics
116
(
2003
)
1-2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10005285824
Saved in:
7
The relative efficiency of method of moments estimators1
Ronald Gallant, A.
;
Tauchen, George
- In:
Journal of Econometrics
92
(
1999
)
1
,
pp. 149-172
Persistent link: https://www.econbiz.de/10005122810
Saved in:
8
Purebred or hybrid?: Reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun
;
Dittmar, Robert F.
;
Gallant, A. Ronald
; …
- In:
Journal of Econometrics
116
(
2003
)
1-2
,
pp. 147-180
Persistent link: https://www.econbiz.de/10005238939
Saved in:
9
Statistical inference for a system of simultaneous, non-linear, implicit equations in the context of instrumental variable estimation
Gallant, A. Ronald
;
Jorgenson, Dale W.
- In:
Journal of Econometrics
11
(
1979
)
2-3
,
pp. 275-302
Persistent link: https://www.econbiz.de/10005204008
Saved in:
10
Imposing curvature restrictions on flexible functional forms
Gallant, A. Ronald
;
Golub, Gene H.
- In:
Journal of Econometrics
26
(
1984
)
3
,
pp. 295-321
Persistent link: https://www.econbiz.de/10005285795
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