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~person:"Bandi, Federico M."
~person:"Hansen, Peter Reinhard"
~person:"Schmid, Wolfgang"
~person:"Storti, Giuseppe"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"Anova"
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Analysis of variance
11
Varianzanalyse
11
Volatility
7
Volatilität
7
Capital income
5
Estimation theory
5
Kapitaleinkommen
5
Portfolio selection
5
Portfolio-Management
5
Schätztheorie
5
Noise Trading
4
Noise trading
4
Theorie
4
Theory
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Market microstructure
3
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1993-2003
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ARCH model
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Component Dynamic Models
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Covariance matrix estimation
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Finance
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Global minimum variance portfolio
1
Kapitalmarktrendite
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Large-dimensional asymptotics
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Aufsatz in Zeitschrift
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15
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Bandi, Federico M.
Hansen, Peter Reinhard
Schmid, Wolfgang
Storti, Giuseppe
Bodnar, Taras
7
Gribisch, Bastian
5
Herrmann, Andreas
5
Patton, Andrew J.
5
Azadeh, Mohammad Ali
4
Chiu, Wan-Yi
4
De Nard, Gianluca
4
Gupta, Rangan
4
Hartkopf, Jan Patrick
4
Herwartz, Helmut
4
Lunde, Asger
4
Migliaccio, Guido
4
Oomen, Roel C. A.
4
Bauwens, Luc
3
Bollerslev, Tim
3
Christensen, Kim
3
Dar, Amir Ahmad
3
Fengler, Matthias
3
Gijo, E. V.
3
Golosnoy, Vasyl
3
Grobys, Klaus
3
Hafner, Christian M.
3
Huber, Frank
3
Jain, Sarika
3
Kim, Jae H.
3
Korn, Ralf
3
Laurent, Sébastien
3
Mahapatra, Siba Sankar
3
Maheu, John M.
3
Mazur, Stepan
3
Nair, Shreekumar K.
3
Pagnottoni, Paolo
3
Pierdzioch, Christian
3
Podolskij, Mark
3
Rombouts, Jeroen V. K.
3
Russell, Jeffrey R.
3
Santos, André A. P.
3
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Econometric reviews
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Advances in statistical analysis : AStA ; a journal of the German Statistical Society
1
Annals of economics and statistics
1
European journal of operational research : EJOR
1
Journal of econometrics
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
11
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11
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1
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
2
Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras
;
Parolya, Nestor
;
Schmid, Wolfgang
- In:
European journal of operational research : EJOR
266
(
2018
)
1
,
pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
Saved in:
3
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc
;
Braione, Manuela
;
Storti, Giuseppe
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
Saved in:
4
Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
Saved in:
5
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
Saved in:
6
Statistical inference of the efficient frontier for dependent asset returns
Bodnar, Taras
;
Schmid, Wolfgang
;
Zabolotskyy, Taras
- In:
Statistical papers
50
(
2009
)
3
,
pp. 593-604
Persistent link: https://www.econbiz.de/10003844054
Saved in:
7
Moving average-based estimators of integrated variance
Hansen, Peter Reinhard
;
Large, Jeremy
;
Lunde, Asger
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 79-111
Persistent link: https://www.econbiz.de/10003761216
Saved in:
8
Using high-frequency data in dynamic portfolio choice
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Zhu, Yinghua
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 163-198
Persistent link: https://www.econbiz.de/10003761222
Saved in:
9
Comparison of different estimation techniques for portfolio selection
Okhrin, Yarema
;
Schmid, Wolfgang
- In:
Advances in statistical analysis : AStA ; a journal of …
91
(
2007
)
2
,
pp. 109-127
Persistent link: https://www.econbiz.de/10003525357
Saved in:
10
Realized variance and market microstructure noise
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 127-161
Persistent link: https://www.econbiz.de/10003317169
Saved in:
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