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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Koopman, Siem Jan"
~person:"Kokoszka, Piotr"
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Volatility
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Koopman, Siem Jan
Kokoszka, Piotr
Ghysels, Eric
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3
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Tinbergen Institute
41
Tinbergen Institute Discussion Paper
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Econometric reviews
2
Journal of econometrics
2
Journal of time series econometrics
2
Discussion paper series / LSE Financial Markets Group
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Econometric analysis of financial and economic time series ; part a
1
Handbook of financial time series
1
Journal of applied econometrics
1
Journal of empirical finance
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Journal of financial econometrics
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NBB Working Paper
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National Bank of Belgium Working Paper
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The econometrics journal
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Tinbergen Institute Discussion Paper 09-110/4
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Tinbergen Institute Discussion Paper 10-032/2
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Tinbergen Institute Discussion Paper 14-071/III
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Tinbergen Institute Discussion Paper 14-118/III
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Tinbergen Institute Discussion Paper 15-037/III/DSF90
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Tinbergen Institute Discussion Paper 20-004/III
1
Tinbergen Institute Discussion Paper 2016-061/III
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Tinbergen Institute Discussion Paper 2018-027/III
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Tinbergen Institute Discussion Paper 2021-057/III
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ECONIS (ZBW)
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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
Functional dynamic factor model for intraday price curves
Kokoszka, Piotr
;
Miao, Hong
;
Zhang, Xi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 456-477
Persistent link: https://www.econbiz.de/10011339294
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
Sample and implied volatility in GARCH models
Horváth, Lajos
;
Kokoszka, Piotr
;
Zitikis, Ričardas
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 617-635
Persistent link: https://www.econbiz.de/10003565751
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