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Phillips, Peter C. B.
38
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22
Linton, Oliver
19
Todorov, Viktor
19
Aït-Sahalia, Yacine
18
Ghysels, Eric
18
Gouriéroux, Christian
18
Swanson, Norman R.
18
Tauchen, George Eugene
18
Yu, Jun
18
McAleer, Michael
17
Koop, Gary
16
Lee, Lung-fei
16
Corradi, Valentina
14
Pesaran, M. Hashem
14
Andersen, Torben
13
Patton, Andrew J.
13
Chib, Siddhartha
12
Diebold, Francis X.
12
Granger, C. W. J.
12
Mykland, Per A.
12
Schmidt, Peter
12
Taylor, Robert
12
Dufour, Jean-Marie
11
Park, Joon Y.
11
Renault, Eric
11
Steel, Mark F. J.
11
Xiao, Zhijie
11
Gallant, A. Ronald
10
Hong, Yongmiao
10
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10
Timmermann, Allan
10
Whang, Yoon-jae
10
Xiu, Dacheng
10
Kohn, Robert
9
Li, Qi
9
Lütkepohl, Helmut
9
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9
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8
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(EC)2 Conference <1, 1990; 2, 1991>
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National Bureau of Economic Research
1
National Science Foundation
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1
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Journal of econometrics
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ECONIS (ZBW)
1,867
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1
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
Saved in:
2
Volatility
forecasting and microstructure noise
Ghysels, Eric
;
Sinko, Arthur
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
Saved in:
3
Covariance measurement in the presence of non-synchronous trading and market microstructure noise
Griffin, Jim E.
;
Oomen, Roel C. A.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 58-68
Persistent link: https://www.econbiz.de/10009242550
Saved in:
4
A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
Saved in:
5
Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
6
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 396-406
Persistent link: https://www.econbiz.de/10009612713
Saved in:
7
Empirical evidence on the importance of aggregation, asymmetry, and jumps for
volatility
prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
8
Modeling the interdependence of
volatility
and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
- In:
Journal of econometrics
106
(
2002
)
2
,
pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
Saved in:
9
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
10
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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