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~person:"Aït-Sahalia, Yacine"
~person:"Gupta, Rangan"
~person:"Renault, Eric"
~subject:"Spillover effect"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Aufsatzsammlung"
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Spillover effect
Volatilität
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164
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164
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44
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38
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38
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Aït-Sahalia, Yacine
Gupta, Rangan
Renault, Eric
McAleer, Michael
22
Bollerslev, Tim
21
Andersen, Torben
15
Asai, Manabu
15
Wang, Yudong
13
Westerhoff, Frank H.
12
Audretsch, David B.
11
Caporin, Massimiliano
11
Chan, Joshua
11
Caporale, Guglielmo Maria
10
Devereux, Michael B.
10
Ghysels, Eric
10
Herwartz, Helmut
10
Lambertini, Luca
10
Mele, Antonio
10
Pierdzioch, Christian
10
Yu, Jun
10
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9
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9
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9
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9
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9
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9
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9
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9
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9
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9
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9
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9
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9
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8
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8
Li, Yong
8
Papanicolaou, George
8
Sircar, Kaushik Ronnie
8
Wu, Chongfeng
8
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8
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Journal of econometrics
10
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4
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3
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
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2
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1
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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
Factor stochastic volatility in mean models : a GMM approach
Doz, Catherine
;
Renault, Eric
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 275-309
Persistent link: https://www.econbiz.de/10003355766
Saved in:
3
GARCH and irregularly spaced data
Meddahi, Nour
;
Renault, Eric
;
Werker, Bas J. M.
- In:
Economics letters
90
(
2006
)
2
,
pp. 200-204
Persistent link: https://www.econbiz.de/10003275843
Saved in:
4
Special issue on "Multivariate volatility models"
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003907531
Saved in:
5
Causality effects in return volatility measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
Saved in:
6
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René
;
Lewis, Marc-André
;
Pastorello, Sergio
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
Saved in:
7
The leverage effect puzzle : disentangling sources of bias at high frequency
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Li, Yingying
- In:
Journal of financial economics
109
(
2013
)
1
,
pp. 224-249
Persistent link: https://www.econbiz.de/10009765821
Saved in:
8
Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model
Nasr, Adnen Ben
;
Ajmi, Ahdi Noomen
;
Gupta, Rangan
- In:
Applied financial economics
24
(
2014
)
13/15
,
pp. 993-1004
Persistent link: https://www.econbiz.de/10010415355
Saved in:
9
Realized volatility when sampling times are possibly endogenous
Li, Yingying
;
Mykland, Per A.
;
Renault, Eric
;
Zhang, Lan
; …
- In:
Econometric theory
30
(
2014
)
3
,
pp. 580-605
Persistent link: https://www.econbiz.de/10010500887
Saved in:
10
Openness, technological spillovers in the R&D sector and economic growth
Chen, Pei-pei
;
Gupta, Rangan
- In:
South African journal of economic and management sciences
13
(
2010
)
1
,
pp. 1-7
Persistent link: https://www.econbiz.de/10009126334
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