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subject:"ARCH-Modell"
subject:"Börsenkurs"
~person:"Sheppard, Kevin"
~person:"Todorov, Viktor"
~type_genre:"Article in journal"
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ARCH-Modell
Börsenkurs
Estimation theory
16
Schätztheorie
16
Volatility
15
Volatilität
15
Estimation
10
Schätzung
10
Time series analysis
9
Zeitreihenanalyse
9
Share price
8
Stochastic process
8
Stochastischer Prozess
8
Capital income
6
Kapitaleinkommen
6
High-frequency data
5
Stochastic volatility
5
ARCH model
4
Nichtparametrisches Verfahren
4
Nonparametric statistics
4
Martingal
3
Martingale
3
Option pricing theory
3
Options
3
Optionspreistheorie
3
Adaptive estimation
2
Beta
2
Beta risk
2
Betafaktor
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Correlation
2
Forecasting model
2
Induktive Statistik
2
Inference
2
Jumps
2
Korrelation
2
Laplace transform
2
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Sheppard, Kevin
Todorov, Viktor
Francq, Christian
18
Zakoïan, Jean-Michel
16
Kumar, Dilip
14
Maheswaran, S.
10
Tauchen, George Eugene
9
Li, Jia
8
Rahbek, Anders
8
Teräsvirta, Timo
8
Bauwens, Luc
7
Ardia, David
6
Engle, Robert F.
6
Kim, Donggyu
6
Ling, Shiqing
6
Linton, Oliver
6
McAleer, Michael
6
Shephard, Neil G.
6
Faff, Robert W.
5
Hafner, Christian M.
5
Horváth, Lajos
5
Jondeau, Eric
5
Krämer, Walter
5
Li, Guodong
5
Li, Wai Keung
5
Luger, Richard
5
Paolella, Marc S.
5
Sucarrat, Genaro
5
Wang, Yazhen
5
Zhu, Ke
5
Allen, David E.
4
Arvanitis, Stelios
4
Carnero, M. Angeles
4
Chan, Ngai Hang
4
Kim, Jong-Min
4
Li, Dong
4
Mills, Terence C.
4
Mykland, Per A.
4
Pedersen, Rasmus Søndergaard
4
Rockinger, Michael
4
Silvennoinen, Annastiina
4
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Journal of econometrics
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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ECONIS (ZBW)
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
3
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
4
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:
5
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
6
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
7
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
8
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
9
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
10
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:
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