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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Bos, Charles S."
~person:"Koopman, Siem Jan"
~person:"Rodrigues, Paulo M. M."
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Volatility
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Bos, Charles S.
Koopman, Siem Jan
Rodrigues, Paulo M. M.
Ghysels, Eric
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Tinbergen Institute
56
Tinbergen Institute Discussion Paper
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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Tinbergen Institute Discussion Paper 15-037/III/DSF90
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Tinbergen Institute Discussion Paper 2016-061/III
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Tinbergen Institute Discussion Paper 2018-027/III
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ECONIS (ZBW)
6
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1
Bayesian dynamic modeling of high-frequency integer price changes
Barra, István
;
Borowska, Agnieszka
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 384-424
Persistent link: https://www.econbiz.de/10011987788
Saved in:
2
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
3
The analysis of stochastic volatility in the presence of daily realized measures
Koopman, Siem Jan
;
Scharth, Marcel
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
1
,
pp. 76-115
Persistent link: https://www.econbiz.de/10009708926
Saved in:
4
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
5
Special issue on "Multivariate volatility models"
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003907531
Saved in:
6
The impact of central bank FX interventions on currency components
Beine, Michel
;
Bos, Charles S.
;
Laurent, Sébastien
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
1
,
pp. 154-183
Persistent link: https://www.econbiz.de/10003518305
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