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Measuring volatility with the...
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Schätzung
Volatilität
835
Volatility
833
Realized volatility
484
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409
realized volatility
409
Capital income
407
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398
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Hautsch, Nikolaus
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Bollerslev, Tim
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Li, Jia
10
Pierdzioch, Christian
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Ma, Feng
7
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6
Kaminska, Iryna
6
McAleer, Michael
6
Yao, Wenying
6
Audrino, Francesco
5
Brooks, Robert
5
Demirer, Rıza
5
Lyócsa, Štefan
5
Papavassiliou, Vassilios G.
5
Scharth, Marcel
5
Watanabe, Toshiaki
5
Yang, Xiye
5
Allen, David E.
4
Andersen, Torben
4
Barunik, Jozef
4
Caporin, Massimiliano
4
Dungey, Mardi H.
4
Gillas, Konstantinos Gkillas
4
Groß-Klußmann, Axel
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Lai, Yu-Sheng
4
Mumtaz, Haroon
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Nonejad, Nima
4
Patton, Andrew J.
4
Sirimon Treepongkaruna
4
Winkelmann, Lars
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Xiu, Dacheng
4
Xu, Yongdeng
4
Šustek, Roman
4
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3
Bauwens, Luc
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3
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12
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12
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11
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10
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8
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7
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ECONIS (ZBW)
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EconStor
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1
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
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2
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
3
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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4
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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5
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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6
A noise-robust estimator of volatility based on interquantile ranges
Yeh, Jin-huei
;
Wang, Jying-Nan
;
Kuan, Chung-ming
- In:
Review of quantitative finance and accounting
43
(
2014
)
4
,
pp. 751-779
Persistent link: https://www.econbiz.de/10010490993
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7
A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong-wan
;
Hwang, Eunju
- In:
Economics letters
129
(
2015
),
pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
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8
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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9
Central bank announcements and realized volatility of stock markets in G7 countries
Lyócsa, Štefan
;
Molnár, Peter
;
Plíhal, Tomáš
- In:
Journal of international financial markets, …
58
(
2019
),
pp. 117-135
Persistent link: https://www.econbiz.de/10012127844
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10
The intraday effect of nature disaster and production safety accident announcement based on high-frequency data from China’s stock markets
Li, Ping
;
Tang, Huailin
;
Liao, Jingchi
- In:
China finance review international
5
(
2015
)
3
,
pp. 277-302
Persistent link: https://www.econbiz.de/10011391745
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