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subject:"Volatility"
type_genre:"Article in journal"
~person:"Ghysels, Eric"
~subject:"Zeitreihenanalyse"
~type_genre:"Graue Literatur"
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Volatility
Zeitreihenanalyse
Estimation theory
32
Schätztheorie
32
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19
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19
Time series analysis
11
Volatilität
7
Statistical theory
6
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1929-2010
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Ghysels, Eric
Phillips, Peter C. B.
55
Gao, Jiti
49
Koopman, Siem Jan
42
Teräsvirta, Timo
37
Johansen, Søren
36
Lütkepohl, Helmut
35
Linton, Oliver
33
Nielsen, Morten Ørregaard
33
Franses, Philip Hans
27
Lucas, André
26
Taylor, Robert
25
Sibbertsen, Philipp
24
Kapetanios, George
23
Koop, Gary
22
Maravall Herrero, Agustín
22
Swanson, Norman R.
22
Gouriéroux, Christian
21
Chambers, Marcus J.
20
Harvey, Andrew C.
20
Härdle, Wolfgang
20
Bauwens, Luc
19
Leybourne, Stephen James
18
Li, Degui
17
McAleer, Michael
17
Nielsen, Bent
17
Peng, Bin
17
Pesaran, M. Hashem
17
Tauchen, George Eugene
17
Brännäs, Kurt
16
Cavaliere, Giuseppe
16
Kumar, Dilip
16
Perron, Pierre
16
Todorov, Viktor
16
Andersen, Torben
15
Blasques, Francisco
15
Croux, Christophe
15
Dong, Chaohua
15
Hassler, Uwe
15
Hyndman, Rob J.
15
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of econometrics
3
Econometric theory
2
Série des documents de travail / Centre de Recherche en Économie et Statistique
2
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2
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2
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
On the size distortion from linearly interpolating low-frequency series for cointegration tests
Ghysels, Eric
;
Miller, J. Isaac
-
2014
-
Rev .
Persistent link: https://www.econbiz.de/10010231623
Saved in:
2
Testing for cointegration with temporally aggregated and mixed-frequency time series
Ghysels, Eric
;
Miller, J. Isaac
-
2013
-
Rev.
Persistent link: https://www.econbiz.de/10010200462
Saved in:
3
Testing for Granger causality with mixed frequency data
Ghysels, Eric
;
Hill, Jonathan B.
;
Motegi, Kaiji
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 207-230
Persistent link: https://www.econbiz.de/10011617146
Saved in:
4
The econometric analysis of mixed frequency data sampling
Ghysels, Eric
;
Marcellino, Massimiliano
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 291-293
Persistent link: https://www.econbiz.de/10011704880
Saved in:
5
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
6
Moment-implied densities : properties and applications
Ghysels, Eric
;
Wang, Fangfang
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
Saved in:
7
Factor analysis with large panels volatility proxies
Ghysels, Eric
-
2014
Persistent link: https://www.econbiz.de/10010382083
Saved in:
8
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
9
The impact of sampling frequency and volatility estimators on change-point tests
Andreou, Alena
;
Ghysels, Eric
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 290-318
Persistent link: https://www.econbiz.de/10002214288
Saved in:
10
Rolling-sample volatility estimators : some new theoretical, simulation, and empirical results
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 363-376
Persistent link: https://www.econbiz.de/10001695282
Saved in:
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