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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Cambridge working papers in economics"
~subject:"Share price"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Share price
Estimation theory
97
Schätztheorie
97
Time series analysis
25
Zeitreihenanalyse
25
Estimation
20
Schätzung
20
Nichtparametrisches Verfahren
17
Nonparametric statistics
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Volatilität
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15
Korrelation
15
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14
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ARCH model
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Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Cheng, Tingting
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
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Francq, Christian
1
Frederiksen, Per
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Gao, Jiti
1
Ghysels, Eric
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Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
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1
Kotchoni, Rachidi
1
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1
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Rubia, Antonio
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Journal of econometrics
130
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
49
Economics letters
29
Journal of empirical finance
27
Econometric reviews
22
Economic modelling
20
Journal of banking & finance
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Quantitative finance
18
Econometric theory
16
Finance research letters
16
Journal of financial econometrics
15
International journal of forecasting
14
International journal of theoretical and applied finance
14
The North American journal of economics and finance : a journal of financial economics studies
14
International journal of economics and financial issues : IJEFI
13
Journal of forecasting
13
Journal of risk and financial management : JRFM
13
The econometrics journal
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Journal of mathematical finance
10
Econometrics : open access journal
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International review of financial analysis
9
Journal of financial economics
9
The journal of finance : the journal of the American Finance Association
9
Applied economics
8
Finance and stochastics
8
Journal of financial and quantitative analysis : JFQA
8
The review of financial studies
8
Applied financial economics
7
Computational economics
7
International journal of financial engineering
7
Journal of applied econometrics
7
The European journal of finance
7
Annals of finance
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
European journal of operational research : EJOR
6
International journal of economics and finance
6
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Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
2
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
Saved in:
3
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
5
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
6
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
7
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
8
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
9
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
10
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
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