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Do jumps matter for volatility...
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Volatility
340
Volatilität
340
Forecasting model
304
Prognoseverfahren
304
Theorie
263
Theory
263
Estimation theory
227
Schätztheorie
227
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199
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199
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174
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172
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124
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94
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94
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86
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616
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629
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Bollerslev, Tim
21
Todorov, Viktor
20
Tauchen, George Eugene
16
Timmermann, Allan
16
Andersen, Torben
15
Aït-Sahalia, Yacine
15
Patton, Andrew J.
13
Mykland, Per A.
12
Swanson, Norman R.
12
Taylor, Robert
11
Diebold, Francis X.
10
Ghysels, Eric
10
Linton, Oliver
10
McAleer, Michael
10
Xiu, Dacheng
10
Clark, Todd E.
9
Corradi, Valentina
9
Koopman, Siem Jan
8
Li, Jia
8
Meddahi, Nour
8
Shephard, Neil G.
8
Zhang, Lan
8
Dijk, Herman K. van
7
Kim, Donggyu
7
Li, Yingying
7
Pesaran, M. Hashem
7
Schorfheide, Frank
7
Cavaliere, Giuseppe
6
Elliott, Graham
6
Fan, Jianqing
6
Gao, Jiti
6
Maheu, John M.
6
McCracken, Michael W.
6
Asai, Manabu
5
Boswijk, Herman Peter
5
Carriero, Andrea
5
Chang, Chia-Lin
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
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Conference on Realized Volatility <2006, Montréal>
1
International Conference on Econometrics <2016, Melbourne>
1
National Bureau of Economic Research
1
National Science Foundation
1
Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance <1999, Cambridge, Mass.>
1
Published in...
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Journal of econometrics
NBER working paper series
3,291
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2,832
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2,676
Energy economics
2,582
Working paper
1,840
International journal of forecasting
1,732
Finance research letters
1,602
CESifo working papers
1,584
Discussion paper / Centre for Economic Policy Research
1,520
Applied economics
1,377
IMF working papers
1,329
Policy research working paper : WPS
1,210
SpringerLink / Bücher
1,176
Journal of banking & finance
1,101
Journal of forecasting
1,060
Applied economics letters
1,059
Economic modelling
1,058
International Journal of Energy Economics and Policy : IJEEP
995
Journal of international money and finance
995
Economics letters
953
Discussion papers / CEPR
950
International review of economics & finance : IREF
893
International review of financial analysis
888
World Bank E-Library Archive
883
Technological forecasting & social change : an international journal
849
Discussion paper series / IZA
811
Intereconomics : review of European economic policy
771
IMF working paper
745
Policy Research Working Paper
730
World development : the multi-disciplinary international journal devoted to the study and promotion of world development
701
Ecological economics : the transdisciplinary journal of the International Society for Ecological Economics
695
CESifo Working Paper
676
Research in international business and finance
669
Journal of international financial markets, institutions & money
666
World Bank Policy Research Working Paper
652
CESifo Working Paper Series
638
The world economy : the leading journal on international economic relations
632
The energy journal
623
Discussion paper / Tinbergen Institute
619
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ECONIS (ZBW)
629
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1
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629
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1
A regime switching long memory model for electricity prices
Haldrup, Niels
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
135
(
2006
)
1/2
,
pp. 349-376
Persistent link: https://www.econbiz.de/10003376088
Saved in:
2
Forecasting S&P 100
volatility
: the incremental information content of implied volatilities and high-frequency index returns
Blair, Bevan J.
;
Poon, Ser-Huang
;
Taylor, Stephen
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 5-26
Persistent link: https://www.econbiz.de/10001617140
Saved in:
3
Forecasting multifractal
volatility
Calvet, Laurent E.
;
Fisher, Adlai
- In:
Journal of econometrics
105
(
2001
)
1
,
pp. 27-58
Persistent link: https://www.econbiz.de/10001617142
Saved in:
4
A multiple indicators model for
volatility
using intra-daily data
Engle, Robert F.
;
Gallo, Giampiero M.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
Saved in:
5
Predicting
volatility
: getting the most out of return data sampled at different frequencies
Ghysels, Eric
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
Saved in:
6
Consistent ranking of
volatility
models
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 97-121
Persistent link: https://www.econbiz.de/10003298566
Saved in:
7
Volatility
puzzles: a simple framework for gauging return-
volatility
regressions
Bollerslev, Tim
;
Zhou, Hao
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 123-150
Persistent link: https://www.econbiz.de/10003298567
Saved in:
8
Volatility
forecasting and microstructure noise
Ghysels, Eric
;
Sinko, Arthur
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
Saved in:
9
Volatillity forecast comparison using imperfect
volatility
proxies
Patton, Andrew J.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 246-256
Persistent link: https://www.econbiz.de/10009242521
Saved in:
10
Realized
volatility
forecasting and market microstructure noise
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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