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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Finance research letters"
~subject:"Nonparametric statistics"
~subject:"Varianzanalyse"
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Volatility
Nonparametric statistics
Varianzanalyse
Estimation theory
135
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Estimation
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Chiu, Wan-Yi
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
Journal of econometrics
421
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
146
CEMMAP working papers / Centre for Microdata Methods and Practice
125
Econometric theory
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Economics letters
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Econometric reviews
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Journal of the American Statistical Association : JASA
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Discussion paper / Tinbergen Institute
55
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
54
Discussion papers of interdisciplinary research project 373
48
Working paper / Department of Econometrics and Business Statistics, Monash University
44
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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SFB 649 discussion paper
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Quantitative economics : QE ; journal of the Econometric Society
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Cowles Foundation discussion paper
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European journal of operational research : EJOR
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CREATES research paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
31
Economic modelling
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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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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International journal of forecasting
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Journal of empirical finance
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NBER Working Paper
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Boston College working papers in economics
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NBER working paper series
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Discussion paper / Center for Economic Research, Tilburg University
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Journal of banking & finance
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Journal of risk and financial management : JRFM
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Working paper
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Cambridge working papers in economics
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Computational economics
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Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min
- In:
Finance research letters
63
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
Saved in:
2
Nonparametric statistical inference for stochastic optimal control problems and its applications for financial investment
Yang, Liu
;
Liang, Yanzi
;
Lan, Xinchen
;
Lu, Zheng
- In:
Finance research letters
64
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014531668
Saved in:
3
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
4
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
Saved in:
5
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
6
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
7
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
8
S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef
;
Chatrath, Arjun
;
Christie-David, Rohan
- In:
Finance research letters
51
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
Saved in:
9
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
10
Stepwise expanding the frontier one asset at a time
Chiu, Wan-Yi
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-11
Persistent link: https://www.econbiz.de/10013341338
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