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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Econometric theory"
~subject:"ARCH model"
~subject:"Stochastischer Prozess"
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Volatility
ARCH model
Stochastischer Prozess
Estimation theory
796
Schätztheorie
796
Theorie
293
Theory
293
Time series analysis
179
Zeitreihenanalyse
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Linton, Oliver
6
Francq, Christian
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Horváth, Lajos
5
Zakoïan, Jean-Michel
4
Chan, Ngai Hang
3
Kokoszka, Piotr
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Berkes, István
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1
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Di, Jianing
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Econometric theory
Journal of econometrics
162
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
48
Discussion paper / Tinbergen Institute
47
Econometric reviews
38
CREATES research paper
35
Journal of empirical finance
30
Economic modelling
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
The econometrics journal
23
Finance research letters
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International journal of forecasting
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Journal of forecasting
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Journal of banking & finance
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Journal of financial econometrics
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SFB 649 discussion paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Econometrics : open access journal
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Computational economics
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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International journal of theoretical and applied finance
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Cowles Foundation discussion paper
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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European journal of operational research : EJOR
14
Journal of mathematical finance
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
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Applied economics letters
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Discussion papers of interdisciplinary research project 373
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International journal of economics and financial issues : IJEFI
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Journal of risk
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Journal of time series econometrics
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NBER Working Paper
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Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
2
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
3
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
Saved in:
4
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
5
Exact local whittle estimation in long memory time series with multiple poles
Arteche, Josu
- In:
Econometric theory
36
(
2020
)
6
,
pp. 1064-1098
Persistent link: https://www.econbiz.de/10012404090
Saved in:
6
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
7
Characterizations of multinormality and corresponding tests of fit, including for GARCH models
Henze, Norbert
;
Jiménez-Gamero, M. Dolores
;
Meintanis, …
- In:
Econometric theory
35
(
2019
)
3
,
pp. 510-546
Persistent link: https://www.econbiz.de/10012146149
Saved in:
8
Estimating structural parameters in regression models with adaptive learning
Christopeit, Norbert
;
Massmann, Michael
- In:
Econometric theory
34
(
2018
)
1
,
pp. 68-111
Persistent link: https://www.econbiz.de/10011950924
Saved in:
9
On the functional estimation of multivariate diffusion processes
Bandi, Federico M.
;
Moloche, Guillermo
- In:
Econometric theory
34
(
2018
)
4
,
pp. 896-946
Persistent link: https://www.econbiz.de/10011951437
Saved in:
10
Weak convergence to stochastic integrals under primitive conditions in nonlinear econometric models
Peng, Jiangyan
;
Wang, Qiying
- In:
Econometric theory
34
(
2018
)
5
,
pp. 1132-1157
Persistent link: https://www.econbiz.de/10011951465
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