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Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realized variance, Subsampling
HAC estimator, Long run variance estimator, Market frictions, Quadratic variation, Realised Variance
HAC estimator, Long run variance estimator, Market frictions, Quadratic variation
RARCH; RBEKK; RDCC; multivariate volatility; covariance targeting; common persistence
Power variation, Realised correlation, Realised covolatility, Realised regression, Realised variance, Semimartingales, Covolatility.
Market frictions, Quadratic variation, Realised variance, Semimartingale, Semivariance
Bipower variation, Long run variance estimator, Market frictions, Quadratic variation, Realised kernel, Realised variance, Subsampling
activity, decompostition, directions, GLARMA, size, transactions data
EM algorithm, Kalman filter, market microstructure noise, non-synchronous data, quasi-likelihood, semimartingale
bipower variation, jumps, market microstructure noise, multipower variation, non-parametric analysis, quadratic variation, semimartingale, volatility, volatility of volatility
Markov chain Monte Carlo, particle filter, cubic spline, state space form, stochastic volatility
Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change
integer-valued stochastic process, Lévy basis, Lévy process, trawl process, market microstructure, realized variance, variance signature plot
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Causality, potential outcomes, trading costs, non-parametric, randomization
Perceived healthiness, Likelihood to buy, Health-related messages, Conjoint analysis, Cereal-based products, Country-wise study
HAC estimator, Long run variance estimator, Market frictions, Quadratic
Central limit theorem, quadratic variation, bipower variation
Leverage effect, Markov chain Monte Carlo, Mixture sampler, Stochastic volatility, Stock returns
Euler approximation, Functional central limit theory, Quadratic variation, Realised volatility, Stochastic volatility
bipower variation, jump process, quadratic variation, realized variance, semimartingales, stochastic volatility
Bipower variation, Jump process, Quadratic variation, Realised variance, Semimartingales, Stochastic volatility
bipower variation, integrated variance, jump process, power variation, quadratic variation, realized variance, realized volatility, semimartingale, volatility
Bipower variation, Integrated variance, Jump process, Power variation, Quadratic variation, Realised variance, Realised volatility, Semimartingale, Volatility
Bipower, Mixed Gaussian limit, Power variation, Quadratic variation, Realised variance, Realised volatility, Stochastic volatility
Bayesian inference, Dynamic heteroskedasticity, Factor models, Makov chain Monte Carlo, Simulated EM algorithm, Volatility
Extreme value theory, Importance sampling, Simulation, Stochastic Volatility
Cointegration, Equilibrium correction model, GARCH, Hidden Markov model, Likelihood, Regime switching, STAR model, Stochastic break, Stochastic unit root, Switching regression, Real Exchange Rate, PPP, Unit root hypothesis
Absolute returns, Mixed asymptotic normality, Realised volatility, p-variation, Quadratic variation
Background driving Levy process; Chronometer; Co-break; Econometrics; Integrated volatility; Kumulant function; Levy density; Levy process; Option pricing; OU processes; Stochastic volatility.
Bayes factor, Markov chain monte carlo, marginal likelihood, mixture models, particle filters, simulation based inference, stochastic volatility
File name: ECTJ.
Disequilibrium models, Markov chain Monte Carlo, Scan sampler, Tobit model
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