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isPartOf:"Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society"
subject:"Estimation theory"
~isPartOf:"Journal of econometrics"
~subject:"Monte Carlo simulation"
~subject:"Volatility"
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Estimation theory
Monte Carlo simulation
Volatility
Theorie
1,790
Theory
1,790
Schätztheorie
415
Time series analysis
352
Zeitreihenanalyse
352
Estimation
176
Schätzung
176
Nichtparametrisches Verfahren
153
Nonparametric statistics
153
Forecasting model
136
Prognoseverfahren
136
Statistical test
132
Statistischer Test
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Volatilität
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81
Momentenmethode
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Cointegration
77
Kointegration
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8
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Chib, Siddhartha
11
Koop, Gary
7
Aït-Sahalia, Yacine
6
Gouriéroux, Christian
6
King, Maxwell L.
6
Kohn, Robert
6
Lee, Lung-fei
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Li, Qi
6
Phillips, Peter C. B.
6
Yu, Jun
6
Bollerslev, Tim
5
Diebold, Francis X.
5
Granger, C. W. J.
5
Andersen, Torben
4
Baltagi, Badi H.
4
Chen, Songnian
4
Hallin, Marc
4
Lütkepohl, Helmut
4
McAleer, Michael
4
Renault, Eric
4
Schmidt, Peter
4
Swanson, Norman R.
4
Tauchen, George Eugene
4
Todorov, Viktor
4
Abrevaya, Jason
3
Ali, Mukhtar M.
3
Andrews, Donald W. K.
3
Asai, Manabu
3
Barigozzi, Matteo
3
Blundell, Richard W.
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Boswijk, Herman Peter
3
Cavaliere, Giuseppe
3
Chan, Joshua
3
Christensen, Bent Jesper
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Donald, Stephen G.
3
Franses, Philip Hans
3
Ghysels, Eric
3
Godfrey, L. G.
3
Golan, Amos
3
Gonzalo, Jesús
3
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
Journal of econometrics
Economics letters
494
Econometric theory
304
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
284
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
254
Working paper / National Bureau of Economic Research, Inc.
243
Econometric reviews
197
Discussion paper / Tinbergen Institute
191
Série des documents de travail / Centre de Recherche en Économie et Statistique
181
Journal of applied econometrics
177
NBER working paper series
177
NBER Working Paper
158
Journal of quantitative economics : official journal of the Indian Econometric Society
144
The review of economics and statistics
135
Journal of banking & finance
126
Journal of economic dynamics & control
123
Applied economics
121
Working paper
120
Oxford bulletin of economics and statistics
116
Discussion paper / Centre for Economic Policy Research
110
Journal of forecasting
110
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
108
Discussion paper / Center for Economic Research, Tilburg University
106
International journal of forecasting
104
Economic modelling
101
Journal of empirical finance
100
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
97
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
90
Statistical papers
89
CORE discussion paper : DP
88
Journal of international money and finance
88
Mathematical finance : an international journal of mathematics, statistics and financial theory
88
Finance research letters
85
International journal of theoretical and applied finance
85
Journal of financial economics
80
International economic review
76
The review of financial studies
76
Discussion paper series / IZA
71
SFB 649 discussion paper
70
American journal of agricultural economics
69
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ECONIS (ZBW)
593
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
3
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
4
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
5
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
6
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
7
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
8
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
9
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
10
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
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