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~person:"Andersen, Torben G."
~person:"Chambers, Marcus J."
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Search: subject:"Continuous Time"
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realized volatility
11
jumps
9
high-frequency data
8
Time series analysis
7
Zeitreihenanalyse
7
Continuous time
6
quadratic variation
6
volatility forecasting
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5
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bi-power variation
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Estimation theory
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asset pricing
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continuous-time methods
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equity betas
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long memory
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continuous-time models
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volatility signature plots
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Andersen, Torben G.
Chambers, Marcus J.
Posch, Olaf
30
Wälde, Klaus
20
Friedman, Daniel
15
Bollerslev, Tim
14
Oprea, Ryan
14
Riedel, Frank
14
Trimborn, Timo
13
Scalas, Enrico
12
Nuño, Galo
11
Steg, Jan-Henrik
10
Diebold, Francis X.
9
Federici, Daniela
9
Flaschel, Peter
9
Gandolfo, Giancarlo
8
Guo, Xianping
8
Parra-Alvarez, Juan Carlos
8
Prieto-Rumeau, Tomás
8
Bayer, Christian
7
Behringer, Stefan
7
Benndorf, Volker
7
Ebina, Takeshi
7
Hong, Yongmiao
7
Maggi, Bernardo
7
McAleer, Michael
7
Park, Joon Y.
7
Szydlowski, Martin
7
Yu, Jun
7
Benth, Fred Espen
6
Cui, Zhenyu
6
Fabbri, Giorgio
6
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6
Franke, Reiner
6
Hernández-Lerma, Onésimo
6
Herzberg, Frederik
6
Kleinow, Torsten
6
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6
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6
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4
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RePEc
11
ECONIS (ZBW)
7
EconStor
3
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1
Continuous
time
modelling based on an exact discrete time representation
Chambers, Marcus J.
;
MacCrorie, J. Roderick
;
Thornton, …
-
University of Essex / Department of Economics
-
2017
Persistent link: https://www.econbiz.de/10013162724
Saved in:
2
The estimation of
continuous
time
models with mixed frequency data
Chambers, Marcus J.
-
2016
Persistent link: https://www.econbiz.de/10011417391
Saved in:
3
Continuous
time
ARMA processes : discrete time representation and likelihood evaluation
Thornton, Michael A.
;
Chambers, Marcus J.
-
2016
Persistent link: https://www.econbiz.de/10011538144
Saved in:
4
The effects of sampling frequency on detrending methods for unit root tests
Chambers, Marcus J.
-
University of Essex / Department of Economics
-
2016
Persistent link: https://www.econbiz.de/10013162718
Saved in:
5
Continuous
time
ARMA processes : discrete time representation and likelihood evaluation
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of economic dynamics & control
79
(
2017
),
pp. 48-65
Persistent link: https://www.econbiz.de/10011817599
Saved in:
6
The exact discretisation of CARMA models with applications in finance
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of empirical finance
38
(
2016
),
pp. 739-761
Persistent link: https://www.econbiz.de/10011663785
Saved in:
7
The estimation of
continuous
time
models with mixed frequency data
Chambers, Marcus J.
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 390-404
Persistent link: https://www.econbiz.de/10011704956
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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