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Time series analysis
Volatility
383
high-frequency data
379
Volatilität
376
High-frequency data
346
Börsenkurs
248
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246
Share price
237
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English
217
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Tauchen, George Eugene
10
Bollerslev, Tim
9
Li, Jia
9
Todorov, Viktor
9
Hounyo, Ulrich
8
Liu, Zhi
7
Li, Yingying
6
Andersen, Torben
5
Meddahi, Nour
5
Xu, Yongdeng
5
Glocker, Christian
4
Gonçalves, Sílvia
4
Lai, Yu-Sheng
4
Patton, Andrew J.
4
Quaedvlieg, Rogier
4
Stübinger, Johannes
4
Tse, Yiu Kuen
4
Wegmüller, Philipp
4
Xiu, Dacheng
4
Yang, Xiye
4
Zheng, Xinghua
4
Bauwens, Luc
3
Chen, Yi-Ting
3
Dijk, Dick van
3
Dong, Yingjie
3
Guggia, Valentino
3
Halbleib, Roxana
3
Hansen, Peter Reinhard
3
Jing, Bingyi
3
Koopman, Siem Jan
3
Laurent, Sébastien
3
Liu, Guangying
3
Liu, Qiang
3
Ma, Feng
3
Martens, Martin
3
Podolskij, Mark
3
Sibbertsen, Philipp
3
Sun, Edward W.
3
Vácha, Lukáš
3
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2
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Gottfried Wilhelm Leibniz Universität Hannover
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Journal of econometrics
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
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6
International journal of forecasting
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6
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5
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2
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2
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
217
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1
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju
;
Shin, Dong-wan
- In:
Journal of econometrics
202
(
2018
)
2
,
pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
Saved in:
2
Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo
;
Lin, Jin-Guan
;
Zhao, Yan-Yong
;
Hao, Hong-Xia
- In:
Journal of empirical finance
33
(
2015
),
pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
Saved in:
3
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
Saved in:
4
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
5
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
6
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
7
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
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8
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
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9
On estimation of hurst parameter under noisy observations
Liu, Guangying
;
Jing, Bingyi
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 483-492
Persistent link: https://www.econbiz.de/10012249184
Saved in:
10
Modeling seasonality in new product diffusion
Peers, Yuri
;
Fok, Dennis
;
Franses, Philip Hans
- In:
Marketing science : the marketing journal of the …
31
(
2012
)
2
,
pp. 351-364
Persistent link: https://www.econbiz.de/10009548691
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