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~person:"Bollerslev, Tim"
~person:"Nitschka, Thomas"
~subject:"Capital income"
~subject:"Schätzung"
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Bollerslev, Tim
Nitschka, Thomas
Caporale, Guglielmo Maria
142
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111
Gil-Alaña, Luis A.
109
Pesaran, M. Hashem
109
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96
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86
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78
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76
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71
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70
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69
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62
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60
Marcellino, Massimiliano
58
Härdle, Wolfgang
56
Pierdzioch, Christian
56
Bali, Turan G.
55
Cakici, Nusret
52
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50
Ludvigson, Sydney C.
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Guidolin, Massimo
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Koopman, Siem Jan
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48
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47
Lettau, Martin
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Lo, Andrew W.
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Zhang, Lu
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Ang, Andrew
45
Jagannathan, Ravi
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Zhou, Guofu
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44
Fabozzi, Frank J.
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61
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10003959796
Saved in:
62
Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003586300
Saved in:
63
Roughing it up : including jump components in the measurement, modeling, and forecasting of return volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
- In:
The review of economics and statistics
89
(
2007
)
4
,
pp. 701-720
Persistent link: https://www.econbiz.de/10003567164
Saved in:
64
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
-
2010
Persistent link: https://www.econbiz.de/10008659419
Saved in:
65
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
-
2011
Persistent link: https://www.econbiz.de/10009559404
Saved in:
66
Estimation of jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1783
Persistent link: https://www.econbiz.de/10009425124
Saved in:
67
Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2003
-
This version: September 2003
A rapidly growing literature has documented important improvements in volatility measurement and forecasting performance through the use of realized volatilities constructed from high-frequency returns coupled with relatively simple reduced-form time series modeling procedures. Building on...
Persistent link: https://www.econbiz.de/10009764770
Saved in:
68
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 307-324
Persistent link: https://www.econbiz.de/10009706199
Saved in:
69
Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility
Andersen, Torben
;
Bollerslev, Tim
;
Diebold, Francis X.
-
2005
Persistent link: https://www.econbiz.de/10003217674
Saved in:
70
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Saved in:
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