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person:"Fornari, Fabio"
subject:"Share price"
~person:"Shephard, Neil G."
~subject:"United States"
~subject:"Volatilität"
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Estimation theory
54
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Fornari, Fabio
Shephard, Neil G.
Diebold, Francis X.
21
Koopman, Siem Jan
21
Todorov, Viktor
19
Swanson, Norman R.
18
Li, Jia
17
Pesaran, M. Hashem
17
Tauchen, George Eugene
17
Kumar, Dilip
16
Linton, Oliver
16
Teräsvirta, Timo
16
Li, Yingying
15
Maheswaran, S.
15
Sentana, Enrique
14
Brandt, Michael W.
13
Ghysels, Eric
13
Hafner, Christian M.
13
Kapetanios, George
13
Härdle, Wolfgang
12
Kim, Donggyu
12
Bailey, Natalia
11
Corsi, Fulvio
11
Hautsch, Nikolaus
11
Lucas, André
11
Mairesse, Jacques
11
Mancino, Maria Elvira
11
Andersen, Torben
10
Bollerslev, Tim
10
Engle, Robert F.
10
Fan, Jianqing
10
Gao, Jiti
10
Nolte, Ingmar
10
Silvennoinen, Annastiina
10
Xiu, Dacheng
10
Zakoïan, Jean-Michel
10
Audrino, Francesco
9
Bauwens, Luc
9
Daníelsson, Jón
9
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9
Liu, Zhi
9
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1
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
2
Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009531407
Saved in:
3
Econometric analysis of multivariate realised QML : efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil G.
;
Xiu, Dacheng
-
2012
Persistent link: https://www.econbiz.de/10009532682
Saved in:
4
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:
5
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:
6
A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate
Fornari, Fabio
;
Mele, Antonio
-
2001
Persistent link: https://www.econbiz.de/10001581711
Saved in:
7
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:
8
Likelihood-based estimation of latent general ARCH structures
Fiorentini, Gabriele
(
contributor
); …
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10003179153
Saved in:
9
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:
10
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:
1
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