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Idiosyncratic Volatility, Cond...
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Volatility
321
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321
Theorie
191
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191
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158
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158
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137
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Bollerslev, Tim
19
Todorov, Viktor
18
Tauchen, George Eugene
16
Andersen, Torben
13
Aït-Sahalia, Yacine
12
Xiu, Dacheng
11
McAleer, Michael
9
Meddahi, Nour
9
Taylor, Robert
9
Ghysels, Eric
8
Mykland, Per A.
8
Francq, Christian
7
Li, Jia
7
Patton, Andrew J.
7
Shephard, Neil G.
7
Bandi, Federico M.
6
Cavaliere, Giuseppe
6
Engle, Robert F.
6
Gallant, A. Ronald
6
Gouriéroux, Christian
6
Kim, Donggyu
6
Li, Yingying
6
Renault, Eric
6
Asai, Manabu
5
Diebold, Francis X.
5
Grammig, Joachim
5
Hallin, Marc
5
Koopman, Siem Jan
5
Linton, Oliver
5
Timmermann, Allan
5
Zakoïan, Jean-Michel
5
Zhang, Lan
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Demetrescu, Matei
4
Fan, Jianqing
4
Garcia, René
4
Hansen, Lars Peter
4
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4
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
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2,096
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1,877
Finance research letters
1,691
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1,602
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1,556
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1,254
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1,216
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926
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922
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520
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496
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487
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483
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ECONIS (ZBW)
458
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1
Model-free approaches to discern non-stationary microstructure noise and time-varying
liquidity
in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
2
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
3
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
4
High-frequency returns, jumps and the mixture of normals hypothesis
Fleming, Jeff
;
Paye, Bradley S.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 119-128
Persistent link: https://www.econbiz.de/10009242531
Saved in:
5
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:
6
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
7
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
Saved in:
8
Volatility
activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
9
The VIX, the variance premium and stock market
volatility
Bekaert, Geert
;
Hoerova, Marie
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 181-192
Persistent link: https://www.econbiz.de/10010506065
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10
Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim
;
Bouezmarni, Taoufik
;
El Ghouch, Anouar
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 251-264
Persistent link: https://www.econbiz.de/10010433362
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