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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Nelson, Daniel B."
~subject:"Kapitaleinkommen"
~subject:"Theorie"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Corsi, Fulvio
Nelson, Daniel B.
Phillips, Peter C. B.
31
Andrews, Donald W. K.
30
Newey, Whitney K.
27
Li, Qi
25
Baltagi, Badi H.
23
McAleer, Michael
23
Pesaran, M. Hashem
22
Ohtani, Kazuhiro
21
Giles, David E. A.
19
Krämer, Walter
19
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18
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18
King, Maxwell L.
18
Ullah, Aman
18
Lee, Lung-fei
17
Linton, Oliver
17
Tauchen, George Eugene
17
Granger, C. W. J.
16
Kumar, Dilip
16
Maheswaran, S.
16
Robinson, Peter M.
16
Srivastava, Virendra K.
16
Wooldridge, Jeffrey M.
16
Ghysels, Eric
15
Hahn, Jinyong
15
Schmidt, Peter
15
Zakoïan, Jean-Michel
15
Bera, Anil K.
14
Kelejian, Harry H.
14
Bai, Jushan
13
Dufour, Jean-Marie
13
Godfrey, L. G.
13
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13
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13
Rilstone, Paul
13
Smith, Richard J.
13
Teräsvirta, Timo
13
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12
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12
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ECONIS (ZBW)
14
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1
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:
2
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:
3
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
4
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
5
Continuous record asymptotics for rolling sample variance estimators
Foster, Dean P.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10001194163
Saved in:
6
Asymptotic filtering theory for multivariate ARCH models
Nelson, Daniel B.
- In:
Journal of econometrics
71
(
1996
)
1
,
pp. 1-47
Persistent link: https://www.econbiz.de/10001194795
Saved in:
7
Asymptotically optimal smoothing with ARCH models
Nelson, Daniel B.
- In:
Econometrica : journal of the Econometric Society, an …
64
(
1996
)
3
,
pp. 561-573
Persistent link: https://www.econbiz.de/10001199898
Saved in:
8
A note on the normalized errors in ARCH and stochastic volatility models
Nelson, Daniel B.
- In:
Econometric theory
12
(
1996
)
1
,
pp. 113-128
Persistent link: https://www.econbiz.de/10001201815
Saved in:
9
Filtering and forecasting with misspecified ARCH models II : making the right forecast with the wrong model
Nelson, Daniel B.
- In:
Journal of econometrics
67
(
1995
)
2
,
pp. 303-335
Persistent link: https://www.econbiz.de/10001178181
Saved in:
10
Good news, bad news, volatility, and betas
Braun, Phillip A.
- In:
The journal of finance : the journal of the American …
50
(
1995
)
5
,
pp. 1575-1603
Persistent link: https://www.econbiz.de/10001191709
Saved in:
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