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Estimation
466
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462
Estimation theory
330
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330
Volatility
321
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321
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311
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311
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188
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147
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Bollerslev, Tim
20
Tauchen, George Eugene
18
Todorov, Viktor
18
Andersen, Torben
13
Linton, Oliver
13
Aït-Sahalia, Yacine
12
Francq, Christian
12
Xiu, Dacheng
11
Ghysels, Eric
10
McAleer, Michael
10
Gallant, A. Ronald
9
Gouriéroux, Christian
9
Meddahi, Nour
9
Phillips, Peter C. B.
9
Shephard, Neil G.
9
Taylor, Robert
9
Zakoïan, Jean-Michel
9
Park, Joon Y.
8
Su, Liangjun
8
Diebold, Francis X.
7
Koop, Gary
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Corradi, Valentina
6
Gao, Jiti
6
Kim, Donggyu
6
Koopman, Siem Jan
6
Li, Yingying
6
Rahbek, Anders
6
Timmermann, Allan
6
Andreou, Elena
5
Asai, Manabu
5
Bandi, Federico M.
5
Barigozzi, Matteo
5
Hallin, Marc
5
Hong, Yongmiao
5
Jasiak, Joann
5
Kapetanios, George
5
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
3,841
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3,717
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3,172
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3,162
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2,390
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1,961
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1,801
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1,742
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1,702
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1,690
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1,496
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1,417
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1,337
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1,261
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1,238
International review of financial analysis
1,238
Energy economics
1,177
The journal of finance : the journal of the American Finance Association
1,133
International review of economics & finance : IREF
1,112
Applied financial economics
1,072
Journal of financial economics
1,071
CESifo Working Paper
1,021
MPRA Paper
1,018
Discussion paper
942
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
846
Journal of international money and finance
818
Pacific-Basin finance journal
796
The review of financial studies
782
Discussion paper / Tinbergen Institute
767
Journal of empirical finance
765
The North American journal of economics and finance : a journal of financial economics studies
763
Research in international business and finance
760
Working Paper
751
Journal of financial and quantitative analysis : JFQA
742
Journal of international financial markets, institutions & money
733
CESifo Working Paper Series
720
The journal of futures markets
714
Discussion papers / CEPR
655
ECB Working Paper
639
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ECONIS (ZBW)
817
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1
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817
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1
Increased correlation among asset classes : Are
volatility
or jumps to blame, or both?
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
Saved in:
2
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:
3
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
Saved in:
4
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
5
Incorporating overnight and intraday returns into multivariate GARCH
volatility
models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
6
Words speak as loudly as actions : central bank communication and the response of equity prices to macroeconomic announcements
Gardner, Ben
;
Scotti, Chiara
;
Vega, Clara
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 387-409
Persistent link: https://www.econbiz.de/10013464819
Saved in:
7
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:
8
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:
9
Inference on the tail process with application to financial time series modeling
Davis, Richard A.
;
Drees, Holger
;
Segers, Johan
; …
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 508-525
Persistent link: https://www.econbiz.de/10012110330
Saved in:
10
A simple joint model for returns,
volatility
and
volatility
of
volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
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