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isPartOf:"MNB working papers"
subject:"Volatilität"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Maximum-Likelihood-Schätzung"
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Volatilität
Maximum-Likelihood-Schätzung
Estimation theory
193
Schätztheorie
193
Time series analysis
69
Zeitreihenanalyse
69
Estimation
54
Schätzung
54
Volatility
36
ARCH model
34
ARCH-Modell
34
Nichtparametrisches Verfahren
22
Nonparametric statistics
22
Regression analysis
22
Regressionsanalyse
22
Statistical test
20
Statistischer Test
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Capital income
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Kapitaleinkommen
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Prognoseverfahren
16
Statistical distribution
16
Statistische Verteilung
16
Stochastic process
16
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16
Cointegration
15
Kointegration
15
Maximum likelihood estimation
13
Börsenkurs
12
Portfolio selection
12
Portfolio-Management
12
Share price
12
Markov chain
11
Markov-Kette
11
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11
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Hafner, Christian M.
4
Bauwens, Luc
3
Preminger, Arie
3
Sancetta, Alessio
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
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1
Bu, Ruijun
1
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1
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1
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1
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1
Chevallier, Julien
1
Chuffart, Thomas
1
Cipollini, Fabrizio
1
Daníelsson, Jón
1
Duan, Jin-Chuan
1
Dunsmuir, William T.M.
1
Dēmos, Antōnēs A.
1
Enders, Walter
1
Escribano, Álvaro
1
Fergusson, Kevin
1
Flachaire, Emmanuel
1
Fulop, Andras
1
Galli, Fausto
1
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1
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1
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1
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1
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1
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1
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1
Hung, Mao-Wei
1
Hurn, Stan
1
Inoue, Atsushi
1
Jensen, Mark J.
1
Jiang, Binyan
1
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1
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MNB working papers
CORE discussion papers : DP
Journal of financial econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
191
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Discussion paper / Tinbergen Institute
50
Economics letters
45
Econometric reviews
40
Economic modelling
24
CREATES research paper
22
Econometric theory
22
Journal of empirical finance
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
The econometrics journal
19
Econometrics : open access journal
17
Journal of the American Statistical Association : JASA
17
International journal of forecasting
16
Quantitative finance
16
European journal of operational research : EJOR
14
Finance research letters
14
Journal of banking & finance
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
Computational economics
13
International journal of theoretical and applied finance
13
NBER Working Paper
13
The North American journal of economics and finance : a journal of financial economics studies
13
CEMMAP working papers / Centre for Microdata Methods and Practice
11
Insurance / Mathematics & economics
11
Working paper / Department of Econometrics and Business Statistics, Monash University
11
Applied economics
10
SFB 649 discussion paper
10
Statistics in transition : an international journal of the Polish Statistical Association
10
Série des documents de travail
10
Working paper
10
Applied economics letters
9
CESifo working papers
9
Journal of economic dynamics & control
9
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ECONIS (ZBW)
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
4
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
5
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
6
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
7
Fast maximum likelihood estimation of parameters for square root and Bessel processes
Fergusson, Kevin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 143-170
Persistent link: https://www.econbiz.de/10012657679
Saved in:
8
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
9
A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan
;
Lindsay, Kenneth A.
;
Xu, Lina
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
Saved in:
10
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
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