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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Correlation"
~subject:"Regressionsanalyse"
~subject:"Risikomaß"
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Volatility
Correlation
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Risikomaß
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
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Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Ahn, Seung Chan
1
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1
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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
423
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
161
Economics letters
138
Econometric theory
117
Journal of the American Statistical Association : JASA
108
CEMMAP working papers / Centre for Microdata Methods and Practice
103
Econometric reviews
95
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
85
The econometrics journal
74
Discussion paper / Tinbergen Institute
69
NBER Working Paper
49
Cowles Foundation discussion paper
48
Discussion paper series / IZA
47
Discussion papers of interdisciplinary research project 373
46
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
43
Econometrics : open access journal
42
Insurance / Mathematics & economics
42
SFB 649 discussion paper
41
Economic modelling
38
European journal of operational research : EJOR
38
International journal of forecasting
37
NBER working paper series
36
Computational economics
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Journal of empirical finance
33
Working paper / Department of Econometrics and Business Statistics, Monash University
33
Applied economics letters
32
Cambridge working papers in economics
30
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
30
Journal of banking & finance
30
KBI
30
Journal of forecasting
29
Working paper
29
Cowles Foundation Discussion Paper
28
Journal of financial econometrics
28
Journal of risk and financial management : JRFM
28
CREATES research paper
27
Finance research letters
27
Working papers / TSE : WP
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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
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:
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
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:
9
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:
10
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
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