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Volatility
340
Volatilität
340
Estimation theory
156
Schätztheorie
156
Theorie
156
Theory
156
Estimation
131
Schätzung
131
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124
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Bollerslev, Tim
20
Todorov, Viktor
19
Tauchen, George Eugene
16
Aït-Sahalia, Yacine
15
Andersen, Torben
13
McAleer, Michael
10
Mykland, Per A.
10
Li, Jia
8
Linton, Oliver
8
Meddahi, Nour
8
Patton, Andrew J.
8
Xiu, Dacheng
8
Cavaliere, Giuseppe
7
Kim, Donggyu
7
Li, Yingying
7
Shephard, Neil G.
7
Zhang, Lan
7
Ghysels, Eric
6
Taylor, Robert
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Koopman, Siem Jan
5
Rahbek, Anders
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Chang, Chia-Lin
4
Engle, Robert F.
4
Fan, Jianqing
4
Jasiak, Joann
4
Maheu, John M.
4
Park, Joon Y.
4
Renault, Eric
4
Yang, Xiye
4
Yu, Jun
4
Zaffaroni, Paolo
4
Zheng, Xinghua
4
Bandi, Federico M.
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Finance research letters
1,508
NBER working paper series
1,404
MPRA Paper
1,263
Working paper / National Bureau of Economic Research, Inc.
1,129
Journal of banking & finance
1,013
NBER Working Paper
1,009
International review of financial analysis
965
NBER Working Papers
940
Energy economics
859
Applied economics
843
Journal of financial economics
795
International review of economics & finance : IREF
781
The journal of finance : the journal of the American Finance Association
734
Working Paper
679
Applied economics letters
678
Pacific-Basin finance journal
663
Applied financial economics
625
CEPR Discussion Papers
611
The journal of futures markets
600
Research in international business and finance
599
Economic modelling
577
ECB Working Paper
560
Economics letters
544
Working paper
543
The North American journal of economics and finance : a journal of financial economics studies
539
Research paper series / Swiss Finance Institute
533
Journal of international financial markets, institutions & money
530
Journal of empirical finance
525
CESifo working papers
521
CESifo Working Paper
511
Discussion paper / Centre for Economic Policy Research
511
The review of financial studies
510
Journal of financial and quantitative analysis : JFQA
481
Review of quantitative finance and accounting
428
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
428
Journal of risk and financial management : JRFM
408
Journal of international money and finance
404
The European journal of finance
389
International journal of economics and financial issues : IJEFI
374
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ECONIS (ZBW)
389
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1
Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
Saved in:
2
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
3
High frequency market making : the role of speed
Aït-Sahalia, Yacine
;
Sağlam, Mehmet
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10015074464
Saved in:
4
Modeling the interdependence of
volatility
and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
- In:
Journal of econometrics
106
(
2002
)
2
,
pp. 369-400
Persistent link: https://www.econbiz.de/10001638904
Saved in:
5
Time-invariant restrictions of
volatility
functionals : efficient estimation and specification tests
Yang, Xiye
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 486-516
Persistent link: https://www.econbiz.de/10012439497
Saved in:
6
A wavelet method for panel models with jump discontinuities in the parameters
Bada, Oualid
;
Kneip, Alois
;
Liebl, Dominik
;
Mensinger, Tim
- In:
Journal of econometrics
226
(
2022
)
2
,
pp. 399-422
Persistent link: https://www.econbiz.de/10013461818
Saved in:
7
A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei
;
Diebold, Francis X.
;
Schorfheide, Frank
- In:
Journal of econometrics
177
(
2013
)
2
,
pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
Saved in:
8
Market efficiency, asset returns, and the size of the risk premium in global equity markets
Bansal, Ravi
;
Lundblad, Christian
- In:
Journal of econometrics
109
(
2002
)
2
,
pp. 195-237
Persistent link: https://www.econbiz.de/10001689009
Saved in:
9
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
Saved in:
10
Efficient estimation of integrated
volatility
incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
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