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Volatility
conditional heteroskedasticity
144
stylized facts
110
Conditional heteroskedasticity
102
Volatilität
79
Theorie
74
Theory
67
Stylized facts
66
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65
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63
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61
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61
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60
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58
Börsenkurs
56
Share price
55
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49
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48
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48
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46
GARCH
38
Capital income
32
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30
High-frequency
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high-frequency
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26
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25
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25
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24
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24
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22
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22
Anlageverhalten
20
identification via heteroskedasticity
19
Behavioural finance
18
Welt
18
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Free
32
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Lütkepohl, Helmut
8
Schmitt, Noemi
7
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6
McAleer, Michael
5
Velinov, Anton
4
Allen, David E.
3
Corsi, Fulvio
3
Netšunajev, Aleksei
3
Scharth, Marcel
3
Schwartz, Ivonne
3
Alitab, Dario
2
Amado, Cristina
2
Bormetti, Giacomo
2
Brüggemann, Ralf
2
Chang, Chia-Lin
2
Hsieh, Tai-Lin
2
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2
Kiani, Khurshid M.
2
La Vecchia, Davide
2
Lahaye, Jérôme
2
Majewski, Adam A.
2
Schlaak, Thore
2
Smales, Lee A.
2
Teräsvirta, Timo
2
Trenkler, Carsten
2
Yang, Yi
2
Agell, Núria
1
Ahmed, Neveen
1
Albers, Stefan
1
Assa, Hirbod
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Beine, M.
1
Bianchi, Sergio
1
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1
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1
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1
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1
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3
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3
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Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Economic modelling
2
International review of financial analysis
2
Journal of banking & finance
2
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2
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2
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2
Journal of risk and financial management : JRFM
2
Macroeconomic dynamics
2
SFB 649 discussion paper
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1
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1
Applied economics letters
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1
Finance research letters
1
Financial econometrics and empirical market microstructure
1
Global business review
1
International journal of economic perspectives : IJEP
1
International journal of economics, finance and management sciences : IJEFM
1
International journal of emerging markets
1
Journal of Asia Pacific business
1
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1
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1
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1
Journal of economic dynamics & control
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ECONIS (ZBW)
74
RePEc
3
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1
Examining the impact of macroeconomic announcements on gold futures in a VAR-GARCH framework
Smales, Lee A.
;
O'Grady, Barry
;
Yang, Yi
- In:
Applied economics letters
22
(
2015
)
7/9
,
pp. 710-716
Persistent link: https://www.econbiz.de/10010530036
Saved in:
2
Realizing smiles : options pricing with relized volatility
Corsi, Fulvio
;
Fusari, Nicola
;
La Vecchia, Davide
- In:
Journal of financial economics
107
(
2013
)
2
,
pp. 284-304
Persistent link: https://www.econbiz.de/10009719740
Saved in:
3
The importance of belief dispersion in the response of gold futures to macroeconomic announcements
Smales, Lee A.
;
Yang, Yi
- In:
International review of financial analysis
41
(
2015
),
pp. 292-302
Persistent link: https://www.econbiz.de/10011508993
Saved in:
4
System-wide tail comovements : a bootstrap test for cojump identification on the S&P 500, US bonds and currencies
Gnabo, Jean-Yves
;
Hvozdyk, Lyudmyla
;
Lahaye, Jérôme
- In:
Journal of international money and finance
48
(
2014
),
pp. 147-174
Persistent link: https://www.econbiz.de/10010464002
Saved in:
5
Pervasive underreaction : evidence from high-frequency data
Jiang, Hao
;
Li, Sophia Zhengzi
;
Wang, Hao
- In:
Journal of financial economics
141
(
2021
)
2
,
pp. 573-599
Persistent link: https://www.econbiz.de/10013259814
Saved in:
6
Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
Saved in:
7
A realized volatility approach to option pricing with continuous and jump variance components
Alitab, Dario
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 639-664
Persistent link: https://www.econbiz.de/10012127296
Saved in:
8
Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren
;
Yao, Jianfeng
;
Li, Wai Keung
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
Saved in:
9
Currency risk : comovements and intraday cojumps
Lahaye, Jérôme
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 53-76
Persistent link: https://www.econbiz.de/10011592734
Saved in:
10
Automation, intermediation and the Flash Crash
Kirilenko, Andrei
;
Kyle, Albert S.
;
Samadi, Mehrdad
; …
- In:
Journal of investment management : JOIM
16
(
2018
)
4
,
pp. 17-28
Persistent link: https://www.econbiz.de/10011961003
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