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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"ARCH model"
~subject:"Schätzung"
~subject:"Stochastischer Prozess"
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Volatility
ARCH model
Schätzung
Stochastischer Prozess
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
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Audrino, Francesco
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
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Bu, Ruijun
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Di, Jianing
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Engle, Robert F.
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1
Fan, Yingying
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1
Frederiksen, Per
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1
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Haag, Berthold R.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
324
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
168
Economics letters
145
Econometric reviews
84
Econometric theory
78
Discussion paper / Tinbergen Institute
69
Applied economics letters
63
Economic modelling
63
Discussion paper series / IZA
58
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
NBER Working Paper
56
Applied economics
53
CEMMAP working papers / Centre for Microdata Methods and Practice
49
NBER working paper series
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
The econometrics journal
48
CREATES research paper
44
Journal of applied econometrics
42
Working paper / Department of Econometrics and Business Statistics, Monash University
42
Journal of empirical finance
41
Working paper
39
Working paper / National Bureau of Economic Research, Inc.
39
Journal of banking & finance
38
International journal of forecasting
36
Quantitative economics : QE ; journal of the Econometric Society
36
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34
CESifo working papers
33
Econometrics : open access journal
33
IZA Discussion Paper
33
Discussion paper
32
Journal of the American Statistical Association : JASA
32
Computational economics
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SFB 649 discussion paper
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European journal of operational research : EJOR
30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
Discussion papers / CEPR
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
28
Finance research letters
28
International journal of economics and financial issues : IJEFI
27
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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
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
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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