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~person:"Balcilar, Mehmet"
~person:"Christensen, Kim"
~person:"Ginley, Matthew"
~person:"Podolskij, Mark"
~subject:"Nichtparametrisches Verfahren"
~type:"article"
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Measuring volatility with the...
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Nichtparametrisches Verfahren
Volatility
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Balcilar, Mehmet
Christensen, Kim
Ginley, Matthew
Podolskij, Mark
Li, Jia
4
Todorov, Viktor
4
Li, Yingying
3
Tauchen, George Eugene
3
Bollerslev, Tim
2
Christensen, Kimberly
2
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2
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Chen Zhou
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Journal of econometrics
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Fact or friction : jumps at ultra high frequency
Christensen, Kimberly
;
Oomen, Roel C. A.
;
Podolskij, Mark
- In:
Journal of financial economics
114
(
2014
)
3
,
pp. 576-599
Persistent link: https://www.econbiz.de/10010532687
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2
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
3
Inference from high-frequency data : a subsampling approach
Christensen, Kimberly
;
Podolskij, Mark
;
Thamrongrat, Nopporn
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
Saved in:
4
Simulation of leveraged ETF volatility using nonparametric density estimation
Ginley, Matthew
;
Scott, David W.
;
Ensor, Katherine Bennett
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 457-479
Persistent link: https://www.econbiz.de/10011440276
Saved in:
5
Differences of opinion and stock market volatility : evidence from a nonparametric causality-in-quantiles approach
Balcilar, Mehmet
;
Demirer, Rıza
;
Gupta, Rangan
;
Wohar, …
- In:
Journal of economics and finance
42
(
2018
)
2
,
pp. 339-351
Persistent link: https://www.econbiz.de/10012031009
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