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isPartOf:"Document de travail de l'OFCE"
subject:"Exchange rate"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics"
~subject:"Autocorrelation"
~subject:"Korrelation"
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Search: subject_exact:"Estimation theory"
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Exchange rate
Autocorrelation
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Estimation theory
130
Schätztheorie
130
Estimation
41
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41
Time series analysis
38
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Chauveau, Thierry
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Document de travail de l'OFCE
Journal of empirical finance
Journal of financial econometrics
Journal of econometrics
130
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
70
Economics letters
64
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The European journal of finance
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1
An adaptive long memory conditional correlation model
Dark, Jonathan
- In:
Journal of empirical finance
75
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014491877
Saved in:
2
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
3
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
4
Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca
;
Zhao, Zhao
- In:
Journal of empirical finance
72
(
2023
),
pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
Saved in:
5
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
6
The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean models
Dahl, Christian M.
;
Iglesias, Emma M.
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 139-159
Persistent link: https://www.econbiz.de/10012878189
Saved in:
7
The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 187-218
Persistent link: https://www.econbiz.de/10012878194
Saved in:
8
Estimating the speed of adjustment of leverage in the presence of interactive effects
Westerlund, Joakim
;
Karabiyik, Hande
;
Narayan, Paresh Kumar
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 942-960
Persistent link: https://www.econbiz.de/10013460044
Saved in:
9
Covariance matrix estimation under total positivity for portfolio selection
Agrawal, Raj
;
Roy, Uma
;
Uhler, Caroline
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 367-389
Persistent link: https://www.econbiz.de/10013187988
Saved in:
10
Oops! I shrunk the sample covariance matrix again : blockbuster meets shrinkage
De Nard, Gianluca
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 569-611
Persistent link: https://www.econbiz.de/10013349144
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