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subject:"Transaction costs"
type_genre:"Bibliography included"
~person:"Bollerslev, Tim"
~subject:"EU countries"
~subject:"Time series analysis"
~type_genre:"Article in journal"
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Transaction costs
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Estimation
29
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29
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22
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18
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Bollerslev, Tim
Gil-Alaña, Luis A.
84
Caporale, Guglielmo Maria
47
Gupta, Rangan
33
Chang, Tsangyao
25
Tiwari, Aviral Kumar
25
Bahmani-Oskooee, Mohsen
19
Belke, Ansgar
19
Moosa, Imad A.
19
Koopman, Siem Jan
14
Marcellino, Massimiliano
13
Ramírez, Miguel D.
13
Herwartz, Helmut
12
Ranjbar, Omid
12
Tauchen, George Eugene
12
Österholm, Pär
12
Li, Jia
11
MacDonald, Ronald
11
Miller, Stephen M.
11
Narayan, Paresh Kumar
11
Sosvilla-Rivero, Simón
11
Afonso, António
10
Chan, Joshua
10
Koop, Gary
10
Kutan, Ali Mustafa
10
Todorov, Viktor
10
Tsionas, Efthymios G.
10
Wohar, Mark E.
10
Crespo Cuaresma, Jesús
9
Ma, Feng
9
Yaya, OlaOluwa S.
9
Badinger, Harald
8
Dreger, Christian
8
Egger, Peter
8
Franses, Philip Hans
8
Jalles, João Tovar
8
Lucas, André
8
Lütkepohl, Helmut
8
McAleer, Michael
8
McMillan, David G.
8
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Journal of econometrics
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
International economic review
1
Journal of applied econometrics
1
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ECONIS (ZBW)
10
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10
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1
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
2
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:
3
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
4
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
Saved in:
5
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:
6
Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim
;
Osterrieder, Daniela
;
Sizova, Natalia
; …
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
Saved in:
7
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben
;
Bollerslev, Tim
;
Frederiksen, Per
; …
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 233-261
Persistent link: https://www.econbiz.de/10008667607
Saved in:
8
Correcting the errors : volatility forecast evaluation using high-frequency data and realized volatilities
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Econometrica : journal of the Econometric Society, an …
73
(
2005
)
1
,
pp. 279-296
Persistent link: https://www.econbiz.de/10002568170
Saved in:
9
Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben
- In:
International economic review
39
(
1998
)
4
,
pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
Saved in:
10
Periodic autoregressive conditional heteroscedasticity
Bollerslev, Tim
- In:
Journal of business & economic statistics : JBES ; a …
14
(
1996
)
2
,
pp. 139-160
Persistent link: https://www.econbiz.de/10001203173
Saved in:
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