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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~subject:"Analysis of variance"
~subject:"Noise Trading"
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Search: subject_exact:"Estimation theory"
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Volatility
Analysis of variance
Noise Trading
Estimation theory
210
Schätztheorie
210
Time series analysis
79
Zeitreihenanalyse
79
Estimation
33
Schätzung
33
Volatilität
31
Nichtparametrisches Verfahren
28
Nonparametric statistics
28
Theorie
27
Theory
27
ARCH model
23
ARCH-Modell
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Stochastic process
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Stochastischer Prozess
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Statistical test
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Statistischer Test
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USA
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United States
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Marktmikrostruktur
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Kapitaleinkommen
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Correlation
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Korrelation
11
Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Börsenkurs
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Induktive Statistik
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Statistical inference
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Teräsvirta, Timo
4
Silvennoinen, Annastiina
3
Kristensen, Dennis
2
Nielsen, Morten Ørregaard
2
Amado, Cristina
1
Andersen, Torben
1
Andreou, Alena
1
Balter, Janine
1
Barndorff-Nielsen, Ole E.
1
Bos, Charles S.
1
Boudt, Kris
1
Caldeira, João F.
1
Carrasco, Marine
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Christensen, Kim
1
Corsi, Fulvio
1
Creel, Michael D.
1
Croux, Christophe
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Fan, Jianqing
1
Fan, Yingying
1
Floor Brix, Anne
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1
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1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Jakobsen, Johan Stax
1
Janus, Paweł
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Kanaya, Shin
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CREATES research paper
Journal of econometrics
128
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
46
Discussion paper / Tinbergen Institute
28
Economics letters
25
Journal of empirical finance
23
Econometric reviews
22
Economic modelling
19
Quantitative finance
18
Finance research letters
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics
16
Econometric theory
15
International journal of forecasting
14
International journal of theoretical and applied finance
14
Journal of banking & finance
14
The econometrics journal
13
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
12
Journal of forecasting
11
Journal of risk and financial management : JRFM
11
SFB 649 discussion paper
11
The North American journal of economics and finance : a journal of financial economics studies
11
Journal of the American Statistical Association : JASA
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
9
Econometrics : open access journal
9
European journal of operational research : EJOR
9
Working papers
9
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
NBER Working Paper
8
Computational economics
7
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Journal of mathematical finance
7
The European journal of finance
7
Working paper
7
Working paper / National Bureau of Economic Research, Inc.
7
Applied economics
6
CORE discussion papers : DP
6
Cambridge working papers in economics
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ECONIS (ZBW)
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
4
Cross-sectional noise reduction and more efficient estimation of integrated variance
Mirone, Giorgio
-
2018
Persistent link: https://www.econbiz.de/10011864983
Saved in:
5
Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei
;
Hanck, Christoph
;
Kruse, Robinson
-
2016
Persistent link: https://www.econbiz.de/10011409125
Saved in:
6
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
7
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
8
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
9
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
Saved in:
10
Estimating stochastic volatility models using predictionbased estimating functions
Lunde, Asger
;
Floor Brix, Anne
-
2013
Persistent link: https://www.econbiz.de/10009763883
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