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Volatility
Theorie
166
Theory
158
Volatilität
108
Schätztheorie
78
Zeitreihenanalyse
77
Time series analysis
76
Estimation theory
75
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stochastic volatility
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79
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39
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41
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Lunde, Asger
39
Shephard, Neil G.
38
Hansen, Peter Reinhard
36
Barndorff-Nielsen, Ole E.
34
Shephard, Neil
14
Huang, Zhuo
9
Sheppard, Kevin
8
Chib, Siddhartha
6
Andersen, Torben
4
Bennedsen, Mikkel
4
Olesen, Kasper V.
4
Engle, Robert F.
3
Koopman, Siem Jan
3
Nakajima, Jouchi
3
Nardari, Federico
3
Nason, James Michael
3
Noureldin, Diaa
3
Omori, Yasuhiro
3
Pakkanen, Mikko S.
3
Veraart, Almut
3
Voev, Valeri
3
Archakov, Ilya
2
Christoffersen, Peter F.
2
Fiorentini, Gabriele
2
Hansen, Martin Klint
2
Harvey, Andrew C.
2
Horel, Guillaume
2
Janus, Paweł
2
Meddahi, Nour
2
Mykland, Per A.
2
Podolskij, Mark
2
Sentana, Enrique
2
Shek, Howard Howan
2
Stelzer, Robert
2
Tong, Chen
2
Veraart, Almut E. D.
2
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2
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1
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1
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Department of Economics, Oxford University
6
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4
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3
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3
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3
Economics Group, Nuffield College, University of Oxford
2
Conference on Realized Volatility <2006, Montréal>
1
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1
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5
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5
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4
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4
CREATES Research Papers
3
Department of Economics discussion paper series / University of Oxford
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3
Advanced texts in econometrics
2
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2
Economics Papers / Economics Group, Nuffield College, University of Oxford
2
Finance and stochastics
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Advances in economics and econometrics ; Vol. 3
1
CREATES Research Paper
1
CREATES Research Paper 2009-25
1
Discussion paper series / LSE Financial Markets Group
1
EUI working paper
1
Econometric reviews
1
Energy economics
1
Financial markets and portfolio management
1
Global COE Hi-Stat discussion paper series
1
Handbook of financial time series
1
Journal of financial and quantitative analysis : JFQA
1
LSE Research Online Documents on Economics
1
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1
Mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Oxford bulletin of economics and statistics
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Rotman School of Management Working Paper
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The Oxford handbook of economic forecasting
1
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Tinbergen Institute Discussion Paper 2016-061/III
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ECONIS (ZBW)
106
RePEc
12
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1
Realized variance and market microstructure noise
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 127-161
Persistent link: https://www.econbiz.de/10003317169
Saved in:
2
Estimating the persistence and the autocorrelation function of a time series that this measured with error
Hansen, Peter Reinhard
;
Lunde, Asger
-
2010
Persistent link: https://www.econbiz.de/10003934448
Saved in:
3
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
-
2010
Persistent link: https://www.econbiz.de/10008746092
Saved in:
4
A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard
;
Horel, Guillaume
;
Lunde, Asger
; …
-
2015
Persistent link: https://www.econbiz.de/10010514600
Saved in:
5
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
- In:
Journal of applied econometrics
29
(
2014
)
5
,
pp. 774-799
Persistent link: https://www.econbiz.de/10010414850
Saved in:
6
Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard
;
Lunde, Asger
;
Voev, Valeri
-
2012
Persistent link: https://www.econbiz.de/10009682612
Saved in:
7
Moving average-based estimators of integrated variance
Hansen, Peter Reinhard
;
Large, Jeremy
;
Lunde, Asger
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 79-111
Persistent link: https://www.econbiz.de/10003761216
Saved in:
8
Consistent ranking of volatility models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 97-121
Persistent link: https://www.econbiz.de/10003298566
Saved in:
9
A realized variance for the whole day based on intermittent high-frequency data
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
4
,
pp. 525-554
Persistent link: https://www.econbiz.de/10003154305
Saved in:
10
A forecast comparison of volatility models : does anything beat a GARCH (1,1)?
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of applied econometrics
20
(
2005
)
7
,
pp. 873-889
Persistent link: https://www.econbiz.de/10003243445
Saved in:
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