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Volatility
321
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321
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128
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128
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116
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116
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105
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Bollerslev, Tim
19
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Tauchen, George Eugene
15
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12
Aït-Sahalia, Yacine
11
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9
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8
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7
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7
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6
Ghysels, Eric
6
Kim, Donggyu
6
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6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Maheu, John M.
5
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5
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4
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4
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Jasiak, Joann
4
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4
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4
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4
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4
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3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
3
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3
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3
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Conference on Realized Volatility <2006, Montréal>
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869
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800
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788
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735
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721
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713
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708
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541
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530
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471
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384
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315
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301
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287
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279
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265
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255
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253
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230
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225
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222
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219
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ECONIS (ZBW)
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1
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:
2
An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
Choi, Hwan-sik
;
Jeong, Minsoo
;
Park, Joon Y.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 539-557
Persistent link: https://www.econbiz.de/10010256867
Saved in:
3
Estimating continuous-time stochastic
volatility
models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
Saved in:
4
Quasi-likelihood estimation of a threshold diffusion process
Su, Fei
;
Chan, Kung-sik
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 473-484
Persistent link: https://www.econbiz.de/10011504631
Saved in:
5
Using time-varying
volatility
for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
6
Forecasts of US short-term interest rates : a flexible forecast combination approach
Guidolin, Massimo
;
Timmermann, Allan
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 297-311
Persistent link: https://www.econbiz.de/10003858910
Saved in:
7
Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia
;
Renò, Roberto
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 77-92
Persistent link: https://www.econbiz.de/10009242541
Saved in:
8
Do interest rate options contain information about excess returns?
Almeida, Caio
;
Graveline, Jeremy J.
;
Joslin, Scott
- In:
Journal of econometrics
164
(
2011
)
1
,
pp. 35-44
Persistent link: https://www.econbiz.de/10009270414
Saved in:
9
Rational expectations, inflation and the nominal interest rate
Crockett, Jean A.
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 349-363
Persistent link: https://www.econbiz.de/10001336942
Saved in:
10
Infinite Markov pooling of predictive distributions
Jin, Xin
;
Maheu, John M.
;
Yang, Qiao
- In:
Journal of econometrics
228
(
2022
)
2
,
pp. 302-321
Persistent link: https://www.econbiz.de/10013441752
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