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~person:"Andersen, Torben G."
~person:"Bayer, Christian"
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Search: subject:"Continuous Time"
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realized volatility
11
jumps
9
high-frequency data
8
quadratic variation
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volatility forecasting
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HAR-RV model
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Andersen, Torben G.
Bayer, Christian
Posch, Olaf
30
Wälde, Klaus
20
Friedman, Daniel
15
Bollerslev, Tim
14
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Guo, Xianping
8
Parra-Alvarez, Juan Carlos
8
Prieto-Rumeau, Tomás
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Behringer, Stefan
7
Benndorf, Volker
7
Chambers, Marcus J.
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Ebina, Takeshi
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Hong, Yongmiao
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RePEc
14
EconStor
5
ECONIS (ZBW)
2
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1
The Invariant Distribution of Wealth and Employment Status in a Small Open Economy with Precautionary Savings
Bayer, Christian
;
Rendall, Alan D.
;
Wälde, Klaus
-
2018
We study optimal savings in
continuous
time
with exogenous transitions between employment and unemployment as the only …
Persistent link: https://www.econbiz.de/10011957213
Saved in:
2
The invariant distribution of wealth and employment status in a small open economy with precautionary savings
Bayer, Christian
;
Rendall, Alan D.
;
Wälde, Klaus
-
2018
We study optimal savings in
continuous
time
with exogenous transitions between employment and unemployment as the only …
Persistent link: https://www.econbiz.de/10011941404
Saved in:
3
The invariant distribution of wealth and employment status in a small open economy with precautionary savings
Bayer, Christian
;
Rendall, Alan D.
;
Wälde, Klaus
- In:
Journal of mathematical economics
85
(
2019
),
pp. 17-37
Persistent link: https://www.econbiz.de/10012311014
Saved in:
4
Existence, Uniqueness and Stability of Invariant Distributions in
Continuous-Time
Stochastic Models
Bayer, Christian
;
Waelde, Klaus
-
Volkswirtschaftslehre-Lehrstühle, Gutenberg School of …
-
2011
We study a dynamic stochastic general equilibrium model in
continuous
time
. Related work has proven that optimal …
Persistent link: https://www.econbiz.de/10010615396
Saved in:
5
Matching and Saving in
Continuous
Time
: Proofs
Bayer, Christian
;
Wälde, Klaus
-
CESifo
-
2010
This paper provides the proofs to the analysis of a
continuous
time
matching model with saving in Bayer and Wälde (2010 …
Persistent link: https://www.econbiz.de/10009019145
Saved in:
6
Matching and saving in
continuous
time
: Proofs
Bayer, Christian
;
Wälde, Klaus
-
2010
This paper provides the proofs to the analysis of a
continuous
time
matching model with saving in Bayer and Wälde (2010 …
Persistent link: https://www.econbiz.de/10010270451
Saved in:
7
Matching and Saving in
Continuous
Time
: Proofs
Bayer, Christian
;
Wälde, Klaus
-
Volkswirtschaftslehre-Lehrstühle, Gutenberg School of …
-
2010
This paper provides the proofs to the analysis of a
continuous
time
match- ing model with saving in Bayer and Wälde …
Persistent link: https://www.econbiz.de/10008544419
Saved in:
8
Realized Volatility and Multipower Variation
Andersen, Torben G.
;
Todorov, Viktor
-
School of Economics and Management, University of Aarhus
-
2009
This paper reviews basic notions of return variation in the context of a
continuous-time
arbitrage-free asset pricing …
Persistent link: https://www.econbiz.de/10008577800
Saved in:
9
Continuous-time
models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben G.
;
Bollerslev, Tim
;
Frederiksen, Per
; …
-
2008
context of the
continuous-time
jump diffusion models traditionally used in asset pricing finance. Our approach builds directly … specification of empirically more realistic
continuous-time
asset pricing models. On applying the tests to the thirty individual …
Persistent link: https://www.econbiz.de/10010290422
Saved in:
10
Continuous-Time
Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns
Andersen, Torben G.
;
Bollerslev, Tim
;
Frederiksen, Per
; …
-
Economics Department, Queen's University
-
2008
context of the
continuous-time
jump diffusion models traditionally used in asset pricing finance. Our approach builds directly … specification of empirically more realistic
continuous-time
asset pricing models. On applying the tests to the thirty individual …
Persistent link: https://www.econbiz.de/10005688350
Saved in:
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