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~subject:"Korrelation"
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Korrelation
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Pesaran, M. Hashem
37
McAleer, Michael
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Wolf, Michael
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Engle, Robert F.
28
Bauwens, Luc
24
Christiansen, Charlotte
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Lucas, André
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Boudt, Kris
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McMillan, David G.
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Phillips, Peter C. B.
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Asai, Manabu
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Rösch, Daniel
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Teräsvirta, Timo
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Aslanidis, Nektarios
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Escobar, Marcos
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Fan, Jianqing
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Hautsch, Nikolaus
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Linton, Oliver
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Ray, Indrajit
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Bali, Turan G.
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Bekaert, Geert
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Kočenda, Evžen
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Liow, Kim Hiang
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Becker, Bo
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Corsi, Fulvio
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Guhr, Thomas
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Gupta, Rangan
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Li, Degui
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Manera, Matteo
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Frankfurt School of Finance and Management
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Journal of econometrics
107
Economics letters
96
Finance research letters
81
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70
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
66
Journal of banking & finance
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Applied economics
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NBER Working Paper
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NBER working paper series
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Journal of empirical finance
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Applied economics letters
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International review of financial analysis
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International review of economics & finance : IREF
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Research in international business and finance
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Energy economics
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Econometric reviews
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Journal of international financial markets, institutions & money
34
International journal of theoretical and applied finance
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Journal of international money and finance
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Computational economics
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CESifo working papers
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Discussion paper series / IZA
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Econometric theory
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of risk and financial management : JRFM
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The review of financial studies
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Discussion paper / Centre for Economic Policy Research
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European journal of operational research : EJOR
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Journal of the American Statistical Association : JASA
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
24
Cambridge working papers in economics
23
International journal of forecasting
23
The journal of futures markets
23
CREATES research paper
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Games and economic behavior
22
Journal of economic dynamics & control
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ECONIS (ZBW)
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EconStor
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USB Cologne (business full texts)
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USB Cologne (EcoSocSci)
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RePEc
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1
On the
correlation
structure of microstructure noise : a financial economic approach
Diebold, Francis X.
;
Strasser, Georg
- In:
The review of economic studies
80
(
2013
)
4
,
pp. 1304-1337
Persistent link: https://www.econbiz.de/10010202113
Saved in:
2
Sluggish news reactions: a combinatorial approach for synchronizing stock
jumps
Bouamara, Nabil
;
Boudt, Kris
;
Laurent, Sébastien
; …
-
2024
Persistent link: https://www.econbiz.de/10014521306
Saved in:
3
Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data
Andreev, Nikolay
;
Lapshin, Victor
- In:
Financial econometrics and empirical market microstructure
,
(pp. 13-23)
.
2015
Persistent link: https://www.econbiz.de/10011326759
Saved in:
4
Statistical properties of covariance estimator of microstructure noise : dependence, rare
jumps
and endogeneity
Ubukata, Masato
;
Oya, Kosuke
- In:
Recent advances in financial engineering : proceedings …
,
(pp. 201-218)
.
2009
Persistent link: https://www.econbiz.de/10003871191
Saved in:
5
Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.
;
Schäfer, Rudi
;
Guhr, Thomas
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
Saved in:
6
A score-driven conditional
correlation
model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
7
Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011691138
Saved in:
8
Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise
Park, Sujin
;
Linton, Oliver
-
2012
Persistent link: https://www.econbiz.de/10009552168
Saved in:
9
Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus
;
Reiß, Markus
-
2011
noise model with
correlation
and
volatility
processes being constant over small intervals. The asymptotic equivalence of the …
Persistent link: https://www.econbiz.de/10009388782
Saved in:
10
Estimating and testing nonlinear local dependence between two time series
Lacal, Virginia
;
Tjostheim, Dag
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 648-660
Persistent link: https://www.econbiz.de/10012179003
Saved in:
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