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person:"Bollerslev, Tim"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Alizadeh, Sassan"
~person:"Rodriguez, Gabriel"
~subject:"Schock"
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Volatility
Schock
Estimation theory
5
Schätztheorie
5
Time series analysis
3
Volatilität
3
Zeitreihenanalyse
3
Estimation
2
High-frequency data
2
Market microstructure
2
Marktmikrostruktur
2
Microstructure noise
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Noise Trading
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Noise trading
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Schätzung
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Börsenkurs
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Capital income
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Forecasting
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HAR
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HARQ
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High-dimensional estimation
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Informed trading
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Kapitaleinkommen
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Measurement
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Measurement errors
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Messung
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Occupation density
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Prognoseverfahren
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Realized covolatility matrix
1
Realized volatility
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Robust measures
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Share price
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Statistical distribution
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Statistical error
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Bollerslev, Tim
Alizadeh, Sassan
Rodriguez, Gabriel
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Kim, Donggyu
5
Li, Yingying
5
Francq, Christian
4
Mykland, Per A.
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Gouriéroux, Christian
3
Meddahi, Nour
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Clinet, Simon
2
Davis, Richard A.
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Guerrón-Quintana, Pablo A.
2
Inoue, Atsushi
2
Jasiak, Joann
2
Kilian, Lutz
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
Li, Guodong
2
Li, Kunpeng
2
Li, Wai Keung
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Patton, Andrew J.
2
Potiron, Yoann
2
Wang, Bin
2
Xiu, Dacheng
2
Zhang, Congshan
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Zheng, Xu
2
Zhu, Ke
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Journal of econometrics
Documento de trabajo
5
Working papers / Rodney L. White Center for Financial Research
2
Economic modelling
1
Financial Institutions Center
1
International finance discussion papers
1
International journal of monetary economics and finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
NBER Working Paper
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NBER working paper series
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Review of Pacific Basin financial markets and policies
1
Revista de análisis económico
1
The journal of finance : the journal of the American Finance Association
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The review of economics and statistics
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Working paper / National Bureau of Economic Research, Inc.
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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
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2
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:
3
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
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