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subject:"Time series analysis"
subject:"United States"
~isPartOf:"Journal of econometrics"
~person:"Christensen, Kim"
~person:"Engle, Robert F."
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Time series analysis
United States
Estimation
3
Schätzung
3
Volatility
3
Volatilität
3
High-frequency data
2
Market microstructure
2
Marktmikrostruktur
2
Microstructure noise
2
Pre-averaging
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Zeitreihenanalyse
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Analysis of variance
1
Bipower variation
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Bootstrap approach
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Bootstrapping
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Börsenkurs
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Diurnal variation
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Empirical processes
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Financial market
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Goodness-of-fit
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Index futures
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Nichtparametrisches Verfahren
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Noise Trading
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Noise trading
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Nonparametric statistics
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Realized variance
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Share price
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Statistical distribution
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Statistical test
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Statistische Verteilung
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Statistischer Test
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Christensen, Kim
Engle, Robert F.
Todorov, Viktor
7
Bollerslev, Tim
5
Kim, Donggyu
5
Koop, Gary
5
Li, Jia
5
Tauchen, George Eugene
5
Andersen, Torben
3
Baltagi, Badi H.
3
Fan, Jianqing
3
Patton, Andrew J.
3
Phillips, Peter C. B.
3
Taylor, Robert
3
Wang, Yazhen
3
Aruoba, S. Borağan
2
Aït-Sahalia, Yacine
2
Barigozzi, Matteo
2
Diebold, Francis X.
2
Dijk, Dick van
2
Ergemen, Yunus Emre
2
Fulop, Andras
2
Gouriéroux, Christian
2
Hallin, Marc
2
Han, Xu
2
Hounyo, Ulrich
2
Inoue, Atsushi
2
Kao, Chihwa
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
La Vecchia, Davide
2
Li, Yingying
2
McAleer, Michael
2
Medeiros, Marcelo C.
2
Mroz, Thomas A.
2
Quaedvlieg, Rogier
2
Robinson, Peter M.
2
Ryu, Hang-keun
2
Slottje, Daniel Jonathan
2
Steel, Mark F. J.
2
Su, Liangjun
2
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Journal of econometrics
Discussion paper / Department of Economics, University of California San Diego
7
Working paper / National Bureau of Economic Research, Inc.
7
Discussion paper / Centre for Economic Policy Research
2
The journal of finance : the journal of the American Finance Association
2
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Forecasting volatility in the financial markets
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic literature
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of financial economics
1
Journal of financial markets
1
Review of derivatives research
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
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The review of financial studies
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Working paper series / Czech National Bank
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ECONIS (ZBW)
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1
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
2
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
3
A multiple indicators model for volatility using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
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