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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Sanfelici, Simona"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Bollerslev, Tim
Sanfelici, Simona
Francq, Christian
19
Kumar, Dilip
16
Maheswaran, S.
14
Zakoïan, Jean-Michel
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
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8
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8
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7
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7
Li, Yingying
7
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7
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7
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7
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6
Fan, Jianqing
6
Koopman, Siem Jan
6
Li, Wai Keung
6
Ling, Shiqing
6
Wang, Yazhen
6
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5
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5
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5
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5
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5
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5
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5
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5
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5
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4
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Journal of econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
Journal of economic interaction and coordination
1
The review of economics and statistics
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ECONIS (ZBW)
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1
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
Saved in:
2
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
3
Identifying financial instability conditions using high frequency data
Mancino, Maria Elvira
;
Sanfelici, Simona
- In:
Journal of economic interaction and coordination
15
(
2020
)
1
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012226914
Saved in:
4
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
5
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
6
An application of nonparametric volatility estimators to option pricing
Kenmoe, Romuald N.
;
Sanfelici, Simona
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 393-412
Persistent link: https://www.econbiz.de/10010412432
Saved in:
7
An improved two-step regularization scheme for spot volatility estimation
Ogawa, Shigeyoshi
;
Sanfelici, Simona
- In:
Economic notes : economic review of Banca Monte dei …
40
(
2011
)
3
,
pp. 107-134
Persistent link: https://www.econbiz.de/10009515625
Saved in:
8
High-frequency data, frequency domain inference, and volatility forecasting
Bollerslev, Tim
;
Wright, Jonathan H.
- In:
The review of economics and statistics
83
(
2001
)
4
,
pp. 596-602
Persistent link: https://www.econbiz.de/10001627219
Saved in:
9
Dan Nelson remembered
Bollerslev, Tim
- In:
Journal of business & economic statistics : JBES ; a …
13
(
1995
)
4
,
pp. 361-364
Persistent link: https://www.econbiz.de/10001190316
Saved in:
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