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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~person:"Engle, Robert F."
~subject:"Time series analysis"
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Volatility
Time series analysis
Estimation theory
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Engle, Robert F.
Nelson, Daniel B.
5
Phillips, Peter C. B.
5
Ghysels, Eric
4
Su, Liangjun
4
Andrews, Donald W. K.
3
Franses, Philip Hans
3
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3
Li, Jia
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Stock, James H.
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Tsay, Ruey S.
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Watson, Mark W.
3
Abadir, Karim Maher
2
Barigozzi, Matteo
2
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2
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2
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2
Hadri, Kaddour
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2
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Jing, Bingyi
2
Koop, Gary
2
Li, Dong
2
Ling, Shiqing
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Lucas, André
2
Lütkepohl, Helmut
2
Mykland, Per A.
2
Nielsen, Morten Ørregaard
2
Peng, Bin
2
Russell, Jeffrey R.
2
Shao, Xiaofeng
2
Shephard, Neil G.
2
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2
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of applied econometrics
1
Journal of econometrics
1
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ECONIS (ZBW)
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Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
Saved in:
2
The econometrics of ultra-high-frequency data
Engle, Robert F.
- In:
Econometrica : journal of the Econometric Society, an …
68
(
2000
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10001449346
Saved in:
3
Semiparametric ARCH models
Engle, Robert F.
- In:
Journal of business & economic statistics : JBES ; a …
9
(
1991
)
4
,
pp. 345-359
Persistent link: https://www.econbiz.de/10001113395
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