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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Journal of econometrics"
~subject:"Share price"
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Volatility
Share price
Estimation theory
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384
Zeitreihenanalyse
342
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341
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Todorov, Viktor
10
Linton, Oliver
7
Tauchen, George Eugene
7
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6
Francq, Christian
6
Li, Jia
6
Li, Yingying
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Kim, Donggyu
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Mykland, Per A.
5
Zakoïan, Jean-Michel
5
Koopman, Siem Jan
4
Zhang, Lan
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Fan, Jianqing
3
Meddahi, Nour
3
Park, Joon Y.
3
Rodrigues, Paulo M. M.
3
Shephard, Neil G.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
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2
Engle, Robert F.
2
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2
Gallant, A. Ronald
2
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Grynkiv, Iaryna
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2
Laeven, Roger J. A.
2
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2
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2
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2
Li, Z. Merrick
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
49
Discussion paper / Tinbergen Institute
29
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8
Finance and stochastics
8
Journal of financial and quantitative analysis : JFQA
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ECONIS (ZBW)
161
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1
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
2
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
3
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
4
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
5
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
6
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
7
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
8
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
Saved in:
9
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:
10
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
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