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Stochastic volatility
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Estimation theory
7
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7
Volatility
7
Volatilität
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Time series analysis
5
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5
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3
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00.12.1993
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Shephard, Neil G.
13
Shephard, Neil
9
Barndorff-Nielsen, Ole E.
6
Chib, Siddhartha
6
Lunde, Asger
5
Hansen, Peter Reinhard
4
Nardari, Federico
4
Creal, Drew
3
Koopman, Siem Jan
3
Meddahi, Nour
3
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2
Nakajima, Jouchi
2
Omori, Yasuhiro
2
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1
Mykland, Per
1
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Economics Series Working Papers / Department of Economics, Oxford University
1,967
Economics Papers / Economics Group, Nuffield College, University of Oxford
59
Economics discussion papers
35
OFRC Working Papers Series
25
Centre for Economic Performance & Institute of Economics
20
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20
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12
Journal of Econometrics
10
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Econometric theory
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of applied econometrics
5
Discussion paper / Suntory-Toyota International Centre for Economics and Related Disciplines
4
Econometric Theory
4
Econometrica
4
Journal of Applied Econometrics
4
Journal of Business & Economic Statistics
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Suntory Toyota International Centre for Economics and Related Disciplines
4
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3
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3
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3
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3
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3
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3
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2
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2
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2
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2
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2
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2
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ECONIS (ZBW)
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OLC EcoSci
9
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1
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil
- In:
Journal of econometrics
131
(
2006
)
1
,
pp. 217-252
Persistent link: https://www.econbiz.de/10006747793
Saved in:
2
Annals of econometrics: cointegration and dynamics in economics
Hendry, David F.
(
contributor
); …
- In:
Journal of econometrics
80
(
1997
)
2
,
pp. 199-422
Persistent link: https://www.econbiz.de/10001226816
Saved in:
3
Stochastic volatility with leverage: Fast and efficient likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil
; …
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 425-449
Persistent link: https://www.econbiz.de/10007761426
Saved in:
4
Analysis of high dimensional multivariate stochastic volatility models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil
- In:
Journal of econometrics
134
(
2006
)
2
,
pp. 341-372
Persistent link: https://www.econbiz.de/10007279810
Saved in:
5
Testing the assumptions behind importance sampling
Koopman, Siem Jan
;
Shephard, Neil
;
Creal, Drew
- In:
Journal of econometrics
149
(
2009
)
1
,
pp. 2-12
Persistent link: https://www.econbiz.de/10008899335
Saved in:
6
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 149-170
Persistent link: https://www.econbiz.de/10008997629
Saved in:
7
Subsampling realised kernels
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 204-220
Persistent link: https://www.econbiz.de/10008770543
Saved in:
8
Realized Volatility
Meddahi, Nour
;
Mykland, Per
;
Shephard, Neil
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1-2
Persistent link: https://www.econbiz.de/10008770560
Saved in:
9
Testing the assumptions behind importance sampling
Koopman, Siem Jan
;
Shephard, Neil
;
Creal, Drew
- In:
Journal of econometrics
149
(
2009
)
1
,
pp. 2-11
Persistent link: https://www.econbiz.de/10008237918
Saved in:
10
Markov chain Monte Carlo methods for stochastic volatility models
Chib, Siddhartha
;
Nardari, Federico
;
Shephard, Neil G.
- In:
Journal of econometrics
108
(
2002
)
2
,
pp. 281-316
Persistent link: https://www.econbiz.de/10001657610
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