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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Multivariate Analyse"
~subject:"Noise Trading"
~subject:"Portfolio selection"
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Volatility
Multivariate Analyse
Noise Trading
Portfolio selection
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH model
11
ARCH-Modell
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Market microstructure
10
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Andreou, Alena
1
Balter, Janine
1
Bormann, Carsten
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Chen, Jiaqin
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Corsi, Fulvio
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Denuit, Michel
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Fan, Jianqing
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Fan, Yingying
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Francq, Christian
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Frederiksen, Per
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Ikeda, Shin S.
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Janus, Paweł
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Koopman, Siem Jan
1
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1
Li, Yingying
1
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1
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Moura, Guilherme Valle
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Santos, André A. P.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
148
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
67
Journal of empirical finance
31
Discussion paper / Tinbergen Institute
30
Journal of banking & finance
29
Finance research letters
28
Economics letters
27
Econometric reviews
26
Quantitative finance
23
European journal of operational research : EJOR
22
CREATES research paper
21
Econometric theory
20
International journal of theoretical and applied finance
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of the American Statistical Association : JASA
19
Economic modelling
18
International journal of forecasting
18
Journal of financial econometrics
18
Journal of risk
17
Insurance / Mathematics & economics
16
Journal of risk and financial management : JRFM
16
Journal of forecasting
15
SFB 649 discussion paper
15
The econometrics journal
14
Computational economics
12
Econometrics : open access journal
12
Risks : open access journal
12
The North American journal of economics and finance : a journal of financial economics studies
12
The European journal of finance
11
Financial markets and portfolio management
10
KBI
10
Working papers
10
Applied economics
9
CEMMAP working papers / Centre for Microdata Methods and Practice
9
Discussion paper / Center for Economic Research, Tilburg University
9
International journal of economics and financial issues : IJEFI
9
Série des documents de travail / Centre de Recherche en Économie et Statistique
9
Working paper
9
Applied economics letters
8
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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
Efficient portfolio selection in a large market
Chen, Jiaqin
;
Yuan, Ming
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 496-524
Persistent link: https://www.econbiz.de/10011623668
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
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
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
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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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