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~subject:"Realized volatility"
~person:"Audrino, Francesco"
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Realized volatility
Volatility
8
Volatilität
8
High frequency data
6
Estimation
5
Schätzung
5
Theorie
5
Theory
5
Time series analysis
4
Zeitreihenanalyse
4
Börsenkurs
3
HAR model
3
Share price
3
high frequency data
3
Adaptive lasso
2
Aktienmarkt
2
Anlageverhalten
2
Behavioural finance
2
Bias correction
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Capital income
2
Forecasting model
2
HAR
2
Investor attention
2
Kapitaleinkommen
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Lag model
2
Lag structure
2
Lag-Modell
2
Lasso
2
Modellierung
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Option pricing
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Prognoseverfahren
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Regimes
2
Scientific modelling
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Statistical test
2
Statistischer Test
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Stock market
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Test for false positives
2
downside risk
2
lag structure
2
leverage effect
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Audrino, Francesco
Ma, Feng
19
McAleer, Michael
17
Gupta, Rangan
16
Pierdzioch, Christian
13
Degiannakis, Stavros
12
Scharth, Marcel
12
Yu, Jun
11
Chevallier, Julien
10
Allen, David E.
9
Bollerslev, Tim
9
Sévi, Benoît
9
Liao, Yin
8
Molnár, Peter
8
Wei, Yu
8
Diebold, Francis X.
7
Haugom, Erik
7
Hwang, Eunju
7
Lyócsa, Štefan
7
Nonejad, Nima
7
Andersen, Torben G.
6
Christiansen, Charlotte
6
Clements, Adam
6
Gillas, Konstantinos Gkillas
6
Gribisch, Bastian
6
Liang, Chao
6
Medeiros, Marcelo C.
6
Todorova, Neda
6
Cesa-Bianchi, Ambrogio
5
Corsi, Fulvio
5
Filis, George
5
Martens, Martin
5
Patton, Andrew J.
5
Phillips, Peter C. B.
5
Rebucci, Alessandro
5
Shin, Dong Wan
5
Vortelinos, Dimitrios I.
5
Westgaard, Sjur
5
Zhang, Lan
5
Zhang, Yaojie
5
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School of Economics and Political Science, Universität St. Gallen
1
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
1
Econometric reviews
1
Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen
1
International journal of forecasting
1
International review of financial analysis
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ECONIS (ZBW)
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RePEc
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1
When does attention matter? : the effect of investor attention on stock market volatility around news releases
Ballinari, Daniele
;
Audrino, Francesco
;
Sigrist, Fabio
- In:
International review of financial analysis
82
(
2022
),
pp. 1-28
Persistent link: https://www.econbiz.de/10013431147
Saved in:
2
The impact of sentiment and attention measures on stock market volatility
Audrino, Francesco
;
Sigrist, Fabio Roman Albert
; …
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 334-357
Persistent link: https://www.econbiz.de/10012414802
Saved in:
3
Testing the lag structure of assets'
realized
volatility dynamics
Audrino, Francesco
;
Camponovo, Lorenzo
;
Roth, Constantin
-
2015
Persistent link: https://www.econbiz.de/10011289179
Saved in:
4
Lassoing the HAR model : a model selection perspective on
realized
volatility dynamics
Audrino, Francesco
;
Knaus, Simon D.
- In:
Econometric reviews
35
(
2016
)
8/10
,
pp. 1485-1521
Persistent link: https://www.econbiz.de/10011592369
Saved in:
5
Testing the lag structure of assets’
realized
volatility dynamics
Audrino, Francesco
;
Camponovo, Lorenzo
;
Roth, Constantin
-
School of Economics and Political Science, Universität …
-
2015
A (conservative) test is constructed to investigate the optimal lag structure for forecasting
realized
volatility …
Persistent link: https://www.econbiz.de/10011154593
Saved in:
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