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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~person:"Mykland, Per A."
~person:"Pelletier, Denis"
~subject:"ARCH-Modell"
~subject:"Risikomaß"
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Volatility
ARCH-Modell
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1
Duration
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Market microstructure
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Statistischer Fehler
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bias-correction
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diffusion process
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market microstructure
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Mykland, Per A.
Pelletier, Denis
Francq, Christian
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Horváth, Lajos
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Zakoïan, Jean-Michel
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Andreou, Alena
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Audrino, Francesco
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Di, Jianing
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Fan, Yingying
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Moura, Guilherme Valle
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Nagakura, Daisuke
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics
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Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
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2
Backtesting value-at-risk : a duration-based approach
Christoffersen, Peter F.
;
Pelletier, Denis
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
1
,
pp. 84-108
Persistent link: https://www.econbiz.de/10002214210
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