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person:"Fornari, Fabio"
subject:"Share price"
~person:"Shephard, Neil G."
~subject:"Capital income"
~subject:"Marktmikrostruktur"
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Share price
Capital income
Marktmikrostruktur
Estimation theory
54
Schätztheorie
54
Theorie
22
Theory
22
Time series analysis
13
Zeitreihenanalyse
13
ARCH model
12
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12
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Volatility
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Fornari, Fabio
Shephard, Neil G.
Linton, Oliver
20
Li, Yingying
15
Kapetanios, George
14
Diebold, Francis X.
13
Kumar, Dilip
13
Maheswaran, S.
13
Pesaran, M. Hashem
13
Li, Jia
11
Mykland, Per A.
11
Tauchen, George Eugene
11
Nolte, Ingmar
10
Todorov, Viktor
10
Corsi, Fulvio
9
Hautsch, Nikolaus
9
Teräsvirta, Timo
9
Bailey, Natalia
8
Luger, Richard
8
Sentana, Enrique
8
Stambaugh, Robert F.
8
Wright, Jonathan H.
8
Allen, David E.
7
Bibinger, Markus
7
Bollerslev, Tim
7
Brandt, Michael W.
7
Faff, Robert W.
7
Koopman, Siem Jan
7
Liu, Zhi
7
Malec, Peter
7
Nelson, Charles R.
7
Podolskij, Mark
7
Runde, Ralf
7
Timmermann, Allan
7
Winker, Peter
7
Xiu, Dacheng
7
Zakoïan, Jean-Michel
7
Zheng, Xinghua
7
Ait-Sahalia, Yacine
6
Bauwens, Luc
6
Daníelsson, Jón
6
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Centre for Analytical Finance <Århus>
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Journal of econometrics
2
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Open economies review
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1
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
Saved in:
2
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
Saved in:
3
Recovering the probability density function of asset prices using GARCH as diffusion approximations
Fornari, Fabio
-
2001
Persistent link: https://www.econbiz.de/10013439253
Saved in:
4
Regular and modified kernel-based estimator of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2004
Persistent link: https://www.econbiz.de/10002704173
Saved in:
5
Regular and modified kernel-based estimators of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491800
Saved in:
6
Dynamics of trade-by-trade price movements: decomposition and models
Rydberg, Tina Hvild
;
Shephard, Neil G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 2-25
Persistent link: https://www.econbiz.de/10002220788
Saved in:
7
Recovering the probability density function of asset prices using garch as diffusion approximations
Fornari, Fabio
;
Mele, Antonio
- In:
Journal of empirical finance
8
(
2001
)
1
,
pp. 83-110
Persistent link: https://www.econbiz.de/10001568294
Saved in:
8
Dynamics of trade-by-trade price movements : decomposition and models
Rydberg, Tina Hviid
;
Shephard, Neil G.
-
1998
Persistent link: https://www.econbiz.de/10001369502
Saved in:
9
Estimation of an asymmetric stochastic volatility model for asset returns
Harvey, Andrew C.
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
4
,
pp. 429-434
Persistent link: https://www.econbiz.de/10001209347
Saved in:
10
Estimating variability in the Italian stock market : an ARCH approach
Fornari, Fabio
- In:
Open economies review
4
(
1993
)
4
,
pp. 403-423
Persistent link: https://www.econbiz.de/10001158482
Saved in:
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