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isPartOf:"Journal of econometrics"
~subject:"High-frequency data"
~subject:"Nonparametric statistics"
~subject:"Optionspreistheorie"
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High-frequency data
Nonparametric statistics
Optionspreistheorie
Volatility
321
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125
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125
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116
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Todorov, Viktor
12
Tauchen, George Eugene
9
Bollerslev, Tim
6
Li, Jia
5
Xiu, Dacheng
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Li, Yingying
4
Andersen, Torben
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Aït-Sahalia, Yacine
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1
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Journal of econometrics
International journal of theoretical and applied finance
157
Quantitative finance
109
Journal of banking & finance
78
The journal of futures markets
73
Applied mathematical finance
72
The journal of computational finance
64
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Finance research letters
54
Review of derivatives research
50
The North American journal of economics and finance : a journal of financial economics studies
50
International journal of financial engineering
48
Finance and stochastics
43
European journal of operational research : EJOR
41
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International review of economics & finance : IREF
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Risks : open access journal
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24
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Journal of risk and financial management : JRFM
23
Economics letters
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International review of financial analysis
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SFB 649 discussion paper
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Decisions in economics and finance : DEF ; a journal of applied mathematics
20
Management science : journal of the Institute for Operations Research and the Management Sciences
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
CREATES research paper
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ECONIS (ZBW)
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
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
Saved in:
3
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
4
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
5
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
6
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
7
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
8
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
9
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
10
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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