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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Journal of econometrics"
~subject:"Multivariate Analyse"
~subject:"Noise Trading"
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Volatility
Multivariate Analyse
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Estimation theory
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Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Li, Yingying
6
Francq, Christian
5
Kim, Donggyu
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Mykland, Per A.
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Zakoïan, Jean-Michel
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Meddahi, Nour
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3
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3
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3
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2
Bandi, Federico M.
2
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2
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2
Fiorentini, Gabriele
2
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2
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2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Discussion paper / Tinbergen Institute
28
Econometric reviews
24
Economics letters
24
Journal of empirical finance
21
Econometric theory
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CREATES research paper
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Journal of the American Statistical Association : JASA
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of forecasting
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SFB 649 discussion paper
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Finance research letters
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International journal of theoretical and applied finance
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Journal of banking & finance
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Journal of financial econometrics
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Journal of forecasting
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The econometrics journal
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11
Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
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KBI
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
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International journal of economics and financial issues : IJEFI
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NBER Working Paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Discussion papers of interdisciplinary research project 373
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Insurance / Mathematics & economics
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International journal of financial engineering
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Journal of mathematical finance
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ECONIS (ZBW)
154
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Dynamic conditional eigenvalue GARCH
Hetland, Simon Thinggaard
;
Pedersen, Rasmus Søndergaard
; …
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471517
Saved in:
4
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:
5
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:
6
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
Saved in:
7
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:
8
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
Saved in:
9
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
10
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
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