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isPartOf:"Journal of econometrics"
~person:"Bandi, Federico M."
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
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Volatility
16
Volatilität
16
Capital income
6
Estimation theory
6
Kapitaleinkommen
6
Market microstructure
6
Marktmikrostruktur
6
Schätztheorie
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Bandi, Federico M.
Ghysels, Eric
Mykland, Per A.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
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9
Meddahi, Nour
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Xiu, Dacheng
8
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7
Patton, Andrew J.
7
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6
Kim, Donggyu
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Shephard, Neil G.
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Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
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Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
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Boswijk, Herman Peter
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Francq, Christian
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Jasiak, Joann
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Linton, Oliver
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Maheu, John M.
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Zakoïan, Jean-Michel
4
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3
Carriero, Andrea
3
Chang, Chia-Lin
3
Christensen, Kim
3
Clark, Todd E.
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Conference on Realized Volatility <2006, Montréal>
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Journal of econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric theory
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University of Cyprus Working Papers in Economics
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1
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
2
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
3
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
4
Liquidity and volatility in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Saved in:
5
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
6
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
7
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
8
Time-varying leverage effects
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
169
(
2012
)
1
,
pp. 94-113
Persistent link: https://www.econbiz.de/10009666736
Saved in:
9
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 396-406
Persistent link: https://www.econbiz.de/10009612713
Saved in:
10
Volatility forecasting and microstructure noise
Ghysels, Eric
;
Sinko, Arthur
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
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