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isPartOf:"Journal of econometrics"
~subject:"Nonparametric statistics"
~subject:"Optionspreistheorie"
~subject:"Prognoseverfahren"
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Nonparametric statistics
Optionspreistheorie
Prognoseverfahren
Volatility
321
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321
Theorie
125
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125
Estimation theory
116
Schätztheorie
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Todorov, Viktor
9
Bollerslev, Tim
8
Tauchen, George Eugene
6
Andersen, Torben
5
Patton, Andrew J.
5
Xiu, Dacheng
5
Ghysels, Eric
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Li, Jia
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Li, Yingying
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Aït-Sahalia, Yacine
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2
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Fan, Jianqing
2
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Gallant, A. Ronald
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Swanson, Norman R.
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2
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2
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Journal of econometrics
International journal of theoretical and applied finance
159
Finance research letters
136
Energy economics
127
Quantitative finance
123
International journal of forecasting
120
Journal of forecasting
115
Journal of banking & finance
113
The journal of futures markets
99
The North American journal of economics and finance : a journal of financial economics studies
94
International review of financial analysis
82
Economic modelling
75
International review of economics & finance : IREF
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Applied economics
72
Applied mathematical finance
72
Journal of empirical finance
71
The journal of computational finance
64
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61
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54
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52
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Discussion paper / Tinbergen Institute
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Review of derivatives research
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International journal of financial engineering
49
European journal of operational research : EJOR
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Journal of economic dynamics & control
48
Journal of financial economics
47
Applied economics letters
43
Journal of risk and financial management : JRFM
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Risks : open access journal
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The journal of derivatives : the official publication of the International Association of Financial Engineers
43
Finance and stochastics
42
Journal of mathematical finance
41
Applied financial economics
40
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Economics letters
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Journal of financial econometrics
38
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Research paper series / Swiss Finance Institute
36
CREATES research paper
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ECONIS (ZBW)
117
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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
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:
3
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:
4
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:
5
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
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6
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:
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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