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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Correlation"
~subject:"Estimation"
~subject:"Zeitreihenanalyse"
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Volatility
Correlation
Estimation
Zeitreihenanalyse
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Volatilität
16
Schätzung
15
ARCH model
11
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Market microstructure
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Audrino, Francesco
2
Chen, Yi-ting
2
Corsi, Fulvio
2
Engle, Robert F.
2
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Ahlgren, Niklas
1
Andreou, Alena
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Carrasco, Marine
1
Christensen, Kim
1
Colletaz, Gilbert
1
Croux, Christophe
1
Di, Jianing
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Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Gangopadhyay, Ashis
1
Ghysels, Eric
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Giet, Ludovic
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Giordani, Paolo
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1
Hurlin, Christophe
1
Härdle, Wolfgang
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
542
Economics letters
257
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
256
Econometric theory
192
Econometric reviews
135
Discussion paper / Tinbergen Institute
126
Applied economics letters
100
NBER Working Paper
95
Working paper / Department of Econometrics and Business Statistics, Monash University
84
International journal of forecasting
81
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
79
CREATES research paper
75
Economic modelling
74
NBER working paper series
73
Journal of forecasting
71
Applied economics
70
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
70
The econometrics journal
70
Econometrics : open access journal
69
Journal of applied econometrics
68
Journal of the American Statistical Association : JASA
68
CEMMAP working papers / Centre for Microdata Methods and Practice
64
Discussion paper series / IZA
63
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
59
Working paper / National Bureau of Economic Research, Inc.
59
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
55
Working paper
54
Cowles Foundation discussion paper
53
Journal of empirical finance
51
Computational economics
50
Discussion paper
47
Journal of banking & finance
46
SFB 649 discussion paper
46
CESifo working papers
43
Journal of time series econometrics
41
Quantitative economics : QE ; journal of the Econometric Society
39
NBER technical working paper series
36
Série des documents de travail / Centre de Recherche en Économie et Statistique
36
Cambridge working papers in economics
35
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Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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