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subject:"Stochastischer Prozess"
subject:"Volatility"
~person:"Kumar, Dilip"
~person:"Todorov, Viktor"
~person:"Zakoïan, Jean-Michel"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Estimation theory
88
Schätztheorie
88
Volatilität
41
ARCH model
36
ARCH-Modell
36
Estimation
33
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Kumar, Dilip
Todorov, Viktor
Zakoïan, Jean-Michel
Koopman, Siem Jan
23
Phillips, Peter C. B.
23
Li, Jia
17
Li, Yingying
15
Tauchen, George Eugene
15
Teräsvirta, Timo
15
Maheswaran, S.
14
Brandt, Michael W.
13
Diebold, Francis X.
12
Hafner, Christian M.
12
Kim, Donggyu
12
McAleer, Michael
12
Sentana, Enrique
12
Ghysels, Eric
11
Härdle, Wolfgang
11
Lucas, André
11
Mancino, Maria Elvira
11
Reiß, Markus
11
Spokojnyj, Vladimir G.
11
Swanson, Norman R.
11
Andersen, Torben
10
Silvennoinen, Annastiina
10
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9
Fan, Jianqing
9
Linton, Oliver
9
Liu, Zhi
9
Mykland, Per A.
9
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9
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8
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8
Cavaliere, Giuseppe
8
Francq, Christian
8
Hurvich, Clifford M.
8
Massmann, Michael
8
Takahashi, Akihiko
8
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8
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Journal of econometrics
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International review of economics & finance : IREF
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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
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
5
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:
6
Consistent pseudo-maximum likelihood estimators and groups of transformations
Gouriéroux, Christian
;
Monfort, Alain
;
Zakoïan, …
-
2018
-
Revised version, June 2018
Persistent link: https://www.econbiz.de/10012201146
Saved in:
7
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:
8
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:
9
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:
10
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
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