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subject:"Time series analysis"
~isPartOf:"Journal of econometrics"
~person:"Bollerslev, Tim"
~person:"Zhang, Congshan"
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Time series analysis
Estimation
9
Schätzung
9
Volatility
9
Volatilität
9
Capital income
5
Kapitaleinkommen
5
Zeitreihenanalyse
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High-frequency data
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Börsenkurs
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Estimation theory
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Market microstructure
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Marktmikrostruktur
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Schätztheorie
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"Structural" factor GARCH
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Adaptive estimation
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Bollerslev, Tim
Zhang, Congshan
Todorov, Viktor
7
Kim, Donggyu
5
Li, Jia
5
Tauchen, George Eugene
5
Andersen, Torben
3
Fan, Jianqing
3
Koop, Gary
3
Patton, Andrew J.
3
Phillips, Peter C. B.
3
Taylor, Robert
3
Wang, Yazhen
3
Baltagi, Badi H.
2
Barigozzi, Matteo
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Christensen, Kim
2
Dijk, Dick van
2
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Hallin, Marc
2
Han, Xu
2
Hounyo, Ulrich
2
Kao, Chihwa
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
La Vecchia, Davide
2
Li, Yingying
2
Medeiros, Marcelo C.
2
Quaedvlieg, Rogier
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Robinson, Peter M.
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Su, Liangjun
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Thyrsgaard, Martin
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Velasco, Carlos
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Vogt, Michael
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Wang, Fa
2
Xiu, Dacheng
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Zhang, Zhengjun
2
Amsler, Christine Elaine
1
Aruoba, S. Borağan
1
Asai, Manabu
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of economic forecasting ; 1
1
International economic review
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Journal of applied econometrics
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Journal of financial economics
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NBER Working Paper
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NBER working paper series
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Symposium on forecasting and empirical methods in macroeconomics and finance
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Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
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Working paper / National Bureau of Economic Research, Inc.
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1
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
2
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
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
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
5
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
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