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Volatility
321
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321
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261
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261
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219
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219
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200
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Bollerslev, Tim
20
Todorov, Viktor
18
Tauchen, George Eugene
16
Aït-Sahalia, Yacine
14
Andersen, Torben
13
Phillips, Peter C. B.
13
Taylor, Robert
13
McAleer, Michael
11
Xiu, Dacheng
11
Gouriéroux, Christian
9
Linton, Oliver
9
Meddahi, Nour
9
Mykland, Per A.
8
Patton, Andrew J.
8
Fan, Jianqing
7
Francq, Christian
7
Ghysels, Eric
7
Li, Jia
7
Park, Joon Y.
7
Shephard, Neil G.
7
Yu, Jun
7
Zakoïan, Jean-Michel
7
Cavaliere, Giuseppe
6
Gallant, A. Ronald
6
Kim, Donggyu
6
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6
Maheu, John M.
6
Renault, Eric
6
Asai, Manabu
5
Bandi, Federico M.
5
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5
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5
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5
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5
Koopman, Siem Jan
5
Lieberman, Offer
5
Monfort, Alain
5
Renò, Roberto
5
Yang, Xiye
5
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5
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
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1,385
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1,302
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1,298
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1,145
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1,126
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589
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ECONIS (ZBW)
617
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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
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
3
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
Saved in:
4
Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic
volatility
Griffin, J. E.
;
Steel, Mark F. J.
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
Saved in:
5
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:
6
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:
7
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:
8
The structure of dynamic correlations in multivariate stochastic
volatility
models
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
Saved in:
9
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
10
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
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