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person:"Bollerslev, Tim"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~person:"Mancino, Maria Elvira"
~person:"Todorov, Viktor"
~subject:"Theorie"
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Search: subject_exact:"Estimation theory"
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Volatility
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Estimation theory
15
Schätztheorie
15
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Estimation
10
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10
Time series analysis
9
Zeitreihenanalyse
9
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7
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Bollerslev, Tim
Mancino, Maria Elvira
Todorov, Viktor
Tauchen, George Eugene
7
Andersen, Torben
6
Chib, Siddhartha
6
Gouriéroux, Christian
6
Kohn, Robert
6
Lee, Lung-fei
6
Li, Jia
6
Li, Qi
6
Phillips, Peter C. B.
6
Kim, Donggyu
5
Li, Yingying
5
Baltagi, Badi H.
4
Chen, Songnian
4
Francq, Christian
4
Granger, C. W. J.
4
King, Maxwell L.
4
Mykland, Per A.
4
Park, Joon Y.
4
Schmidt, Peter
4
Swanson, Norman R.
4
Zakoïan, Jean-Michel
4
Abrevaya, Jason
3
Ali, Mukhtar M.
3
Andrews, Donald W. K.
3
Aït-Sahalia, Yacine
3
Diebold, Francis X.
3
Donald, Stephen G.
3
Franses, Philip Hans
3
Godfrey, L. G.
3
Golan, Amos
3
Gonzalo, Jesús
3
Greenberg, Edward S.
3
Haldrup, Niels
3
Horowitz, Joel
3
Hsiao, Cheng
3
Linton, Oliver
3
Lütkepohl, Helmut
3
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3
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Journal of econometrics
ERID working paper
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Economic Research Initiatives at Duke (ERID) Working Paper
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1
Econometric reviews
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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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Handbook of econometrics ; Vol. 4
1
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Journal of economic interaction and coordination
1
Journal of financial econometrics
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The journal of finance : the journal of the American Finance Association
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ECONIS (ZBW)
13
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
4
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:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
6
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
9
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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
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