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person:"Corsi, Fulvio"
subject:"Volatilität"
~accessRights:"restricted"
~person:"Zakoïan, Jean-Michel"
~subject:"1990-2003"
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Volatilität
1990-2003
Estimation theory
9
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5
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Corsi, Fulvio
Zakoïan, Jean-Michel
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Kim, Donggyu
6
Li, Yingying
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Mykland, Per A.
6
Tauchen, George Eugene
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Francq, Christian
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Mancino, Maria Elvira
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Sentana, Enrique
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Sucarrat, Genaro
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Zhang, Lan
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Amengual, Dante
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Bauwens, Luc
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Buccheri, Giuseppe
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Clements, Adam
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Jing, Bingyi
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Kayal, Parthajit
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Kim, Jong-Min
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Kömm, Holger
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Lee, Kyungsub
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Li, Wai Keung
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Otranto, Edoardo
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Park, Joon Y.
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Potiron, Yoann
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Song, Yuping
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Teräsvirta, Timo
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Varneskov, Rasmus Tangsgaard
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Journal of econometrics
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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1
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
2
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
3
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
4
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
5
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
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