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~isPartOf:"Journal of financial econometrics"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
~person:"Barunik, Jozef"
~person:"Engle, Robert F."
~person:"Hasbrouck, Joel"
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Barunik, Jozef
Engle, Robert F.
Hasbrouck, Joel
Yang, Liyan
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Journal of financial econometrics
Management science : journal of the Institute for Operations Research and the Management Sciences
Discussion paper / Department of Economics, University of California San Diego
11
Working paper / National Bureau of Economic Research, Inc.
8
NBER working paper series
7
The journal of finance : the journal of the American Finance Association
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The review of financial studies
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Working paper series / University of Zurich, Department of Economics
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Finmap working paper
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IES working paper
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial economics
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
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Journal of financial markets
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Forecasting volatility in the financial markets
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Georgetown McDonough School of Business Research Paper
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Georgetown McDonough School of Business Research Paper 2012-16
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International review of financial analysis
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Journal of econometrics
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Journal of risk
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Koç University - TÜSİAD Economic Research Forum working paper series
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Selected papers from a Symposium on Market Microstructure
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ECONIS (ZBW)
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1
News and idiosyncratic volatility : the public information processing hypothesis
Engle, Robert F.
;
Hansen, Martin Klint
;
Karagozoglu, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012504316
Saved in:
2
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
Saved in:
3
Dynamic conditional beta is alive and well in the cross section of daily stock returns
Bali, Turan G.
;
Engle, Robert F.
;
Tang, Yi
- In:
Management science : journal of the Institute for …
63
(
2017
)
11
,
pp. 3760-3779
Persistent link: https://www.econbiz.de/10011772757
Saved in:
4
Price discovery in high resolution
Hasbrouck, Joel
- In:
Journal of financial econometrics
19
(
2021
)
3
,
pp. 395-430
Persistent link: https://www.econbiz.de/10012654935
Saved in:
5
Comment on: price discovery in high resolution
Brugler, James
;
Comerton-Forde, Carole
- In:
Journal of financial econometrics
19
(
2021
)
3
,
pp. 431-438
Persistent link: https://www.econbiz.de/10012654938
Saved in:
6
Comment on: price discovery in high resolution
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of financial econometrics
19
(
2021
)
3
,
pp. 439-451
Persistent link: https://www.econbiz.de/10012654941
Saved in:
7
Comment on: price discovery in high resolution
Jong, Frank de
- In:
Journal of financial econometrics
19
(
2021
)
3
,
pp. 452-458
Persistent link: https://www.econbiz.de/10012654944
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