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Estimation
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321
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Bollerslev, Tim
19
Tauchen, George Eugene
18
Todorov, Viktor
18
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13
Linton, Oliver
13
Taylor, Robert
13
Aït-Sahalia, Yacine
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11
Xiu, Dacheng
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9
Gouriéroux, Christian
9
McAleer, Michael
9
Meddahi, Nour
9
Phillips, Peter C. B.
9
Koop, Gary
8
Shephard, Neil G.
8
Su, Liangjun
8
Diebold, Francis X.
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Gao, Jiti
6
Kim, Donggyu
6
Li, Yingying
6
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6
Zakoïan, Jean-Michel
6
Asai, Manabu
5
Bandi, Federico M.
5
Barigozzi, Matteo
5
Francq, Christian
5
Hallin, Marc
5
Jasiak, Joann
5
Koopman, Siem Jan
5
Lu, Xun
5
Marcellino, Massimiliano
5
Rahbek, Anders
5
Rodrigues, Paulo M. M.
5
Shin, Yongcheol
5
Timmermann, Allan
5
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
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723
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522
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ECONIS (ZBW)
752
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1
Testing for mutually exciting jumps and financial flights in high frequency data
Dungey, Mardi H.
;
Erdemlioglu, Deniz
;
Matei, Marius
; …
- In:
Journal of econometrics
202
(
2018
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10011974551
Saved in:
2
Forecasting multivariate realized stock market
volatility
Bauer, Gregory H.
;
Vorkink, Keith
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 93-101
Persistent link: https://www.econbiz.de/10009242535
Saved in:
3
Climate risks and market efficiency
Hong, Harrison G.
;
Li, Frank Weikai
;
Xu, Jiangmin
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 265-281
Persistent link: https://www.econbiz.de/10012144990
Saved in:
4
Tail risk and return predictability for the Japanese equity market
Andersen, Torben
;
Todorov, Viktor
;
Ubukata, Masato
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 344-363
Persistent link: https://www.econbiz.de/10012619430
Saved in:
5
The conditional autoregressive Wishart model for multivariate stock market
volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
- In:
Journal of econometrics
167
(
2012
)
1
,
pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
Saved in:
6
Predicting
volatility
: getting the most out of return data sampled at different frequencies
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
Saved in:
7
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
8
The detection and
estimation
of long memory in stochastic
volatility
Breidt, F. Jay
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
Saved in:
9
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
Saved in:
10
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
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