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isPartOf:"Journal of econometrics"
~subject:"ARCH-Modell"
~subject:"Estimation theory"
~subject:"Statistische Verteilung"
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ARCH-Modell
Estimation theory
Statistische Verteilung
Volatility
321
Volatilität
321
Theorie
125
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125
Schätztheorie
116
Stochastic process
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Todorov, Viktor
12
Bollerslev, Tim
9
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Tauchen, George Eugene
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Kim, Donggyu
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Li, Yingying
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Meddahi, Nour
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Xiu, Dacheng
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Paolella, Marc S.
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Park, Joon Y.
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Gallant, A. Ronald
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Journal of econometrics
Energy economics
217
Finance research letters
138
Economic modelling
122
International review of financial analysis
114
The North American journal of economics and finance : a journal of financial economics studies
110
Applied economics
109
Journal of empirical finance
109
Research in international business and finance
94
International review of economics & finance : IREF
92
Journal of risk and financial management : JRFM
79
Journal of international financial markets, institutions & money
78
Discussion paper / Tinbergen Institute
76
Economics letters
73
International journal of forecasting
73
Journal of banking & finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
70
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65
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
56
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
56
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54
Applied economics letters
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International Journal of Energy Economics and Policy : IJEEP
49
The journal of futures markets
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Econometric Institute research papers
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International journal of finance & economics : IJFE
41
Econometric reviews
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
40
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
39
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35
International journal of economics and financial issues : IJEFI
34
Review of quantitative finance and accounting
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International journal of theoretical and applied finance
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ECONIS (ZBW)
176
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
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:
4
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
5
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
6
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
7
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
8
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
Saved in:
9
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
10
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
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