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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~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
176
Schätztheorie
176
Time series analysis
70
Zeitreihenanalyse
70
Estimation
48
Schätzung
48
Volatilität
33
ARCH model
28
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Regression analysis
21
Regressionsanalyse
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Maximum likelihood estimation
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Abbara, Omar
1
Anatolyev, Stanislav
1
Andreou, Alena
1
Balter, Janine
1
Baruník, Jozef
1
Blazsek, Szabolcs
1
Bos, Charles S.
1
Boudt, Kris
1
Bu, Ruijun
1
Caldeira, João F.
1
Carrasco, Marine
1
Chan, Jennifer So Kuen
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Corsi, Fulvio
1
Croux, Christophe
1
Daníelsson, Jón
1
Enders, Walter
1
Escribano, Álvaro
1
Fan, Jianqing
1
Fan, Yingying
1
Flachaire, Emmanuel
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Goutte, Stéphane
1
Hadri, Kaddour
1
Hassler, Uwe
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Herwartz, Helmut
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Horváth, Lajos
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Hou, Weijie
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Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Jensen, Mark J.
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Kalyvitēs, Sarantēs
1
Kok Haur Ng
1
Koopman, Siem Jan
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Kotchoni, Rachidi
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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
CREATES research paper
18
Quantitative finance
18
Finance research letters
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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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
5
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
6
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
7
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
8
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:
9
Estimation of long memory in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
Saved in:
10
On the estimation of regime-switching Lévy models
Chevallier, Julien
;
Goutte, Stéphane
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
1
,
pp. 3-29
Persistent link: https://www.econbiz.de/10011650170
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