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isPartOf:"Journal of econometrics"
~person:"Ergemen, Yunus Emre"
~person:"Hounyo, Ulrich"
~subject:"Marktmikrostruktur"
~subject:"Zeitreihenanalyse"
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Marktmikrostruktur
Zeitreihenanalyse
Time series analysis
4
Volatility
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4
Estimation
3
Schätzung
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Estimation theory
2
Factor models
2
High-frequency data
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Long memory
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Nonparametric statistics
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Realized volatility
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Capital income
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Integrated covariance
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Jumps
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Ergemen, Yunus Emre
Hounyo, Ulrich
Andersen, Torben
7
Todorov, Viktor
7
Li, Jia
6
Bollerslev, Tim
5
Kim, Donggyu
5
Li, Yingying
5
Mykland, Per A.
5
Tauchen, George Eugene
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Aït-Sahalia, Yacine
4
Hallin, Marc
4
McAleer, Michael
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Patton, Andrew J.
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Barigozzi, Matteo
3
Christensen, Kim
3
Fan, Jianqing
3
Kong, Xin-Bing
3
Meddahi, Nour
3
Taylor, Robert
3
Wang, Yazhen
3
Asai, Manabu
2
Bibinger, Markus
2
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Clinet, Simon
2
Dijk, Dick van
2
Francq, Christian
2
Li, Guodong
2
Li, Wai Keung
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Linton, Oliver
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Liu, Zhi
2
Medeiros, Marcelo C.
2
Petrova, Katerina
2
Podolskij, Mark
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Poon, Aubrey
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Potiron, Yoann
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Quaedvlieg, Rogier
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Journal of econometrics
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Econometric theory
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IDEI working papers
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Quantitative economics : QE ; journal of the Econometric Society
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Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
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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
Estimation of fractionally integrated panels with fixed effects and cross-section dependence
Ergemen, Yunus Emre
;
Velasco, Carlos
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 248-258
Persistent link: https://www.econbiz.de/10011818289
Saved in:
4
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
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