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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Ghysels, Eric"
~person:"Gouriéroux, Christian"
~person:"Mancino, Maria Elvira"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatilität
Estimation theory
61
Schätztheorie
61
Theorie
30
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30
Time series analysis
18
Zeitreihenanalyse
18
Estimation
14
Schätzung
14
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12
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7
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7
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5
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Corsi, Fulvio
Ghysels, Eric
Gouriéroux, Christian
Mancino, Maria Elvira
Kumar, Dilip
16
Maheswaran, S.
14
Li, Jia
12
Todorov, Viktor
12
Tauchen, George Eugene
10
Liu, Zhi
8
Teräsvirta, Timo
8
Andersen, Torben
7
Francq, Christian
7
Kim, Donggyu
7
Li, Yingying
7
Mykland, Per A.
7
Wang, Yazhen
6
Bollerslev, Tim
5
Fan, Jianqing
5
Hafner, Christian M.
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Taylor, Stephen
5
Zakoïan, Jean-Michel
5
Arnerić, Josip
4
Aït-Sahalia, Yacine
4
Clements, Adam
4
Elliott, Robert J.
4
Fičura, Milan
4
Hwang, Eunju
4
Li, Wai Keung
4
McAleer, Michael
4
Nolte, Ingmar
4
Park, Joon Y.
4
Rodriguez, Gabriel
4
Shin, Dong-wan
4
Silvennoinen, Annastiina
4
Song, Yuping
4
Sucarrat, Genaro
4
Taylor, James W.
4
Wang, Jying-Nan
4
Wu, Xinyu
4
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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
Journal of econometrics
2
Econometric theory
1
International journal of forecasting
1
Journal of economic interaction and coordination
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
12
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1
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
2
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
3
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
4
Identifying financial instability conditions using high frequency data
Mancino, Maria Elvira
;
Sanfelici, Simona
- In:
Journal of economic interaction and coordination
15
(
2020
)
1
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012226914
Saved in:
5
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
6
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
7
Econometric analysis of volatility component models
Wang, Fangfang
;
Ghysels, Eric
- In:
Econometric theory
31
(
2015
)
2
,
pp. 362-393
Persistent link: https://www.econbiz.de/10010532059
Saved in:
8
Moment-implied densities : properties and applications
Ghysels, Eric
;
Wang, Fangfang
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
1
,
pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
Saved in:
9
The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
Saved in:
10
The impact of sampling frequency and volatility estimators on change-point tests
Andreou, Alena
;
Ghysels, Eric
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 290-318
Persistent link: https://www.econbiz.de/10002214288
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