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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"restricted"
~person:"Hafner, Christian M."
~person:"Kim, Donggyu"
~person:"Kumar, Dilip"
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Stochastischer Prozess
Volatility
Estimation theory
23
Schätztheorie
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17
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14
ARCH-Modell
14
Estimation
13
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Hafner, Christian M.
Kim, Donggyu
Kumar, Dilip
Todorov, Viktor
10
Li, Jia
9
Sentana, Enrique
7
Francq, Christian
6
Li, Yingying
6
Mykland, Per A.
6
Tauchen, George Eugene
6
Andersen, Torben
5
Li, Dong
5
Liu, Zhi
5
Maheswaran, S.
5
Zakoïan, Jean-Michel
5
Bollerslev, Tim
4
Cui, Zhenyu
4
Mancino, Maria Elvira
4
Park, Joon Y.
4
Sucarrat, Genaro
4
Tsionas, Efthymios G.
4
Wang, Yazhen
4
Wu, Xinyu
4
Zhang, Lan
4
Zhu, Ke
4
Amengual, Dante
3
Bauwens, Luc
3
Buccheri, Giuseppe
3
Clements, Adam
3
Hurn, Stan
3
Jing, Bingyi
3
Kayal, Parthajit
3
Kim, Jong-Min
3
Kristensen, Dennis
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Kömm, Holger
3
Lam, Henry
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Lee, Kyungsub
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Li, Guodong
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Li, Wai Keung
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Journal of econometrics
5
IIMB management review
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
The journal of prediction markets
2
Theoretical economics letters
2
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Economics letters
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International review of economics & finance : IREF
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Journal of quantitative economics
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ECONIS (ZBW)
17
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1
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
2
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
3
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
Saved in:
4
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
5
Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps : A study with economic significance analysis
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
International review of economics & finance : IREF
67
(
2020
),
pp. 25-41
Persistent link: https://www.econbiz.de/10012440181
Saved in:
6
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
7
Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis
Kumar, Dilip
- In:
The journal of prediction markets
13
(
2019
)
1
,
pp. 3-28
Persistent link: https://www.econbiz.de/10012607570
Saved in:
8
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
9
Volatility prediction : a study with structural breaks
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
6
,
pp. 1218-1231
Persistent link: https://www.econbiz.de/10011888198
Saved in:
10
Modelling and forecasting unbiased extreme value volatility estimator : a study based on EUR/USD exchange rate
Kumar, Dilip
- In:
Theoretical economics letters
8
(
2018
)
9
,
pp. 1599-1613
Persistent link: https://www.econbiz.de/10011888653
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