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person:"Corsi, Fulvio"
subject:"Volatilität"
~person:"Nolte, Ingmar"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatilität
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Estimation theory
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9
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7
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Corsi, Fulvio
Nolte, Ingmar
Kumar, Dilip
16
Maheswaran, S.
14
Todorov, Viktor
12
Li, Jia
11
Tauchen, George Eugene
11
Francq, Christian
8
Mykland, Per A.
8
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8
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7
Kim, Donggyu
7
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7
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7
Zakoïan, Jean-Michel
7
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6
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6
McAleer, Michael
6
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6
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6
Aït-Sahalia, Yacine
5
Bollerslev, Tim
5
Fan, Jianqing
5
Hafner, Christian M.
5
Hurn, Stan
5
Jing, Bingyi
5
Koopman, Siem Jan
5
Li, Dong
5
Mancino, Maria Elvira
5
Park, Joon Y.
5
Phillips, Peter C. B.
5
Russell, Jeffrey R.
5
Taylor, Stephen
5
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5
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4
Bandi, Federico M.
4
Bauwens, Luc
4
Cavaliere, Giuseppe
4
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4
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4
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
International journal of forecasting
1
Journal of banking & finance
1
Journal of financial econometrics
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ECONIS (ZBW)
8
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1
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
2
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
3
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
4
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:
5
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:
6
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:
7
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:
8
Least squares infernce on integrated volatility and the relationship between efficient prices and noise
Nolte, Ingmar
;
Voev, Valeri
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
1
,
pp. 94-108
Persistent link: https://www.econbiz.de/10009558954
Saved in:
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