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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Correlation"
~subject:"Market microstructure"
~subject:"Risikomaß"
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Volatility
Correlation
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Risikomaß
Estimation theory
73
Schätztheorie
73
Time series analysis
20
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20
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16
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Corsi, Fulvio
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Francq, Christian
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Horváth, Lajos
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
173
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
79
Economics letters
51
Discussion paper / Tinbergen Institute
39
Econometric reviews
31
Econometric theory
28
Journal of banking & finance
28
Journal of empirical finance
28
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26
Finance research letters
25
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25
Journal of financial econometrics
24
Quantitative finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of forecasting
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International journal of theoretical and applied finance
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Journal of forecasting
17
NBER Working Paper
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Applied economics letters
15
Journal of risk and financial management : JRFM
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
Working paper / National Bureau of Economic Research, Inc.
13
Applied economics
12
Risks : open access journal
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Working papers
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European journal of operational research : EJOR
11
Journal of mathematical finance
11
NBER working paper series
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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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
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
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
Accurate methods for approximate Bayesian Computation Filtering
Calvet, Laurent E.
;
Czellar, Veronika
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 798-838
Persistent link: https://www.econbiz.de/10011417791
Saved in:
8
Robust conditional variance and value-at-risk estimation
Dupuis, Debbie J.
;
Papageorgiou, Nicolas A.
; …
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 896-921
Persistent link: https://www.econbiz.de/10011417831
Saved in:
9
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:
10
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
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