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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"ARCH model"
~subject:"Noise trading"
~subject:"Stochastischer Prozess"
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Volatility
ARCH model
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Stochastischer Prozess
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
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Estimation
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Francq, Christian
2
Horváth, Lajos
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Zakoïan, Jean-Michel
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Andreou, Alena
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Audrino, Francesco
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Balter, Janine
1
Bos, Charles S.
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Bu, Ruijun
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Christoffersen, Peter F.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
165
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Econometric theory
59
Economics letters
48
Discussion paper / Tinbergen Institute
47
Econometric reviews
38
CREATES research paper
37
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
21
International journal of forecasting
20
Journal of forecasting
20
Journal of banking & finance
19
Journal of financial econometrics
19
SFB 649 discussion paper
18
Journal of risk and financial management : JRFM
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
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Econometrics : open access journal
16
Quantitative finance
16
Computational economics
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
International journal of theoretical and applied finance
15
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
14
European journal of operational research : EJOR
14
Journal of mathematical finance
14
The North American journal of economics and finance : a journal of financial economics studies
14
Applied economics
13
Applied economics letters
13
Discussion papers of interdisciplinary research project 373
13
International journal of economics and financial issues : IJEFI
13
Journal of risk
13
Journal of time series econometrics
13
Insurance / Mathematics & economics
11
Mathematics of operations research
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NBER Working Paper
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Operations research
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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
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
Saved in:
10
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
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