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A market-based martingale valu...
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Volatility
321
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Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
14
Andersen, Torben
12
Phillips, Peter C. B.
12
McAleer, Michael
11
Meddahi, Nour
9
Mykland, Per A.
9
Xiu, Dacheng
9
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8
Taylor, Robert
8
Gouriéroux, Christian
7
Li, Jia
7
Park, Joon Y.
7
Patton, Andrew J.
7
Renault, Eric
7
Yu, Jun
7
Bandi, Federico M.
6
Cavaliere, Giuseppe
6
Engle, Robert F.
6
Francq, Christian
6
Kim, Donggyu
6
Linton, Oliver
6
Shephard, Neil G.
6
Zakoïan, Jean-Michel
6
Asai, Manabu
5
Chang, Chia-Lin
5
Gallant, A. Ronald
5
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5
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5
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5
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5
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5
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5
Barigozzi, Matteo
4
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4
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4
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4
Hounyo, Ulrich
4
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
European journal of operational research : EJOR
1,508
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1,032
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951
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876
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866
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ECONIS (ZBW)
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1
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:
2
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
3
Asymptotically distribution-free tests for the
volatility
function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
Saved in:
4
Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
Gallant, A. Ronald
;
Tauchen, George Eugene
- In:
Journal of econometrics
205
(
2018
)
1
,
pp. 140-155
Persistent link: https://www.econbiz.de/10012110246
Saved in:
5
On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
Saved in:
6
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
7
Inference theory for
volatility
functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
8
Testing for non-correlation between price and
volatility
jumps
Jacod, Jean
;
Klüppelberg, Claudia
;
Müller, Gernot
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
Saved in:
9
Testing for self-excitation in jumps
Boswijk, Herman Peter
;
Laeven, Roger J. A.
;
Yang, Xiye
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
Saved in:
10
A Gaussian approximation scheme for computation of option prices in stochastic
volatility
models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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