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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Kumar, Dilip"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
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Volatilität
Marktmikrostruktur
Stochastischer Prozess
Estimation theory
31
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31
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21
ARCH model
14
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14
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Corsi, Fulvio
Kumar, Dilip
Koopman, Siem Jan
23
Phillips, Peter C. B.
23
Todorov, Viktor
19
Li, Jia
17
Li, Yingying
16
Tauchen, George Eugene
15
Teräsvirta, Timo
15
Maheswaran, S.
14
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13
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13
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13
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12
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12
Kim, Donggyu
12
Mancino, Maria Elvira
12
McAleer, Michael
12
Sentana, Enrique
12
Ghysels, Eric
11
Härdle, Wolfgang
11
Lucas, André
11
Reiß, Markus
11
Spokojnyj, Vladimir G.
11
Swanson, Norman R.
11
Andersen, Torben
10
Fan, Jianqing
10
Silvennoinen, Annastiina
10
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9
Christopeit, Norbert
9
Hautsch, Nikolaus
9
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9
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9
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9
Zakoïan, Jean-Michel
9
Alizadeh, Sassan
8
Aït-Sahalia, Yacine
8
Bibinger, Markus
8
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8
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8
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Economic modelling
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
2
IIMB management review
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International review of economics & finance : IREF
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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2
Theoretical economics letters
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Global COE Hi-Stat discussion paper series
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ECONIS (ZBW)
26
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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
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
4
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
5
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
6
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
7
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
Saved in:
8
Modeling and forecasting unbiased extreme value volatility estimator in presence of leverage effect
Kumar, Dilip
- In:
Journal of quantitative economics
16
(
2018
)
2
,
pp. 313-335
Persistent link: https://www.econbiz.de/10012418486
Saved in:
9
Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
Kumar, Dilip
- In:
IIMB management review
29
(
2017
)
4
,
pp. 294-310
Persistent link: https://www.econbiz.de/10011879691
Saved in:
10
Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
Kumar, Dilip
- In:
IIMB management review
28
(
2016
)
1
,
pp. 31-42
Persistent link: https://www.econbiz.de/10011508738
Saved in:
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