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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"ARCH model"
~subject:"Analysis of variance"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH model
Analysis of variance
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH-Modell
11
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Nichtparametrisches Verfahren
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Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Andreou, Alena
1
Audrino, Francesco
1
Balter, Janine
1
Bos, Charles S.
1
Boudt, Kris
1
Caldeira, João F.
1
Carrasco, Marine
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Chen, Yi-ting
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Christoffersen, Peter F.
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Conrad, Christian A.
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Corsi, Fulvio
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Croux, Christophe
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Di, Jianing
1
Engle, Robert F.
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Fan, Jianqing
1
Fan, Yingying
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Frederiksen, Per
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Haag, Berthold R.
1
Hassler, Uwe
1
Herwartz, Helmut
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
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Mykland, Per A.
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Nagakura, Daisuke
1
Nielsen, Morten Ørregaard
1
Nogales, Francisco J.
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
153
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Econometric theory
48
Economics letters
39
Discussion paper / Tinbergen Institute
38
Econometric reviews
31
Journal of empirical finance
31
CREATES research paper
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Finance research letters
22
Economic modelling
21
The econometrics journal
21
Journal of financial econometrics
20
International journal of forecasting
18
Journal of banking & finance
18
Quantitative finance
18
Journal of forecasting
17
International journal of theoretical and applied finance
14
Journal of risk and financial management : JRFM
14
SFB 649 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
13
International journal of economics and financial issues : IJEFI
13
Journal of risk
13
Série des documents de travail / Centre de Recherche en Économie et Statistique
13
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Computational economics
12
Econometrics : open access journal
12
Journal of the American Statistical Association : JASA
12
Journal of time series econometrics
12
Applied economics letters
11
Journal of mathematical finance
11
Working papers
11
CORE discussion papers : DP
10
NBER Working Paper
10
The European journal of finance
10
European journal of operational research : EJOR
9
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
8
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
Saved in:
9
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
10
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
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