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person:"Bollerslev, Tim"
subject:"Volatility"
~accessRights:"restricted"
~person:"Härdle, Wolfgang"
~person:"Koopman, Siem Jan"
~person:"Mykland, Per A."
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Volatility
Estimation theory
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8
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Bollerslev, Tim
Härdle, Wolfgang
Koopman, Siem Jan
Mykland, Per A.
Todorov, Viktor
10
Kumar, Dilip
9
Li, Jia
9
Kim, Donggyu
6
Li, Yingying
6
Tauchen, George Eugene
6
Andersen, Torben
5
Francq, Christian
5
Liu, Zhi
5
Maheswaran, S.
5
Mancino, Maria Elvira
4
Sentana, Enrique
4
Sucarrat, Genaro
4
Wang, Yazhen
4
Wu, Xinyu
4
Zhang, Lan
4
Amengual, Dante
3
Bauwens, Luc
3
Buccheri, Giuseppe
3
Clements, Adam
3
Jing, Bingyi
3
Kayal, Parthajit
3
Kim, Jong-Min
3
Kömm, Holger
3
Lee, Kyungsub
3
Li, Wai Keung
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Liu, Guangying
3
Otranto, Edoardo
3
Park, Joon Y.
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Potiron, Yoann
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Song, Yuping
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Teräsvirta, Timo
3
Varneskov, Rasmus Tangsgaard
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Wang, Bin
3
Yang, Xiye
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Zakoïan, Jean-Michel
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Journal of econometrics
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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1
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:
2
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
3
Missing observations in observation-driven time series models
Blasques, F.
;
Gorgi, P.
;
Koopman, Siem Jan
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 542-568
Persistent link: https://www.econbiz.de/10012619249
Saved in:
4
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
5
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
6
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
7
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:
8
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
9
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
10
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
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