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isPartOf:"MNB working papers"
subject:"Volatilität"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of financial econometrics"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Portfolio selection"
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Search: subject_exact:"Estimation theory"
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Volatilität
Maximum-Likelihood-Schätzung
Portfolio selection
Estimation theory
90
Schätztheorie
90
Estimation
21
Schätzung
21
Time series analysis
19
Volatility
19
Zeitreihenanalyse
19
ARCH model
17
ARCH-Modell
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Nichtparametrisches Verfahren
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Maximum likelihood estimation
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Stochastic process
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Hafner, Christian M.
5
Bauwens, Luc
3
Preminger, Arie
3
Sancetta, Alessio
2
Agrawal, Raj
1
Boudt, Kris
1
Buccheri, Giuseppe
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Chen, Feng
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Cipollini, Fabrizio
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Cornilly, Dries
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De Nard, Gianluca
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Duan, Jin-Chuan
1
Dunsmuir, William T.M.
1
Dēmos, Antōnēs A.
1
Ferreira, Eva
1
Fulop, Andras
1
Galli, Fausto
1
Gallo, Giampiero M.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Hong, Seok Young
1
Hung, Mao-Wei
1
Hurn, Stan
1
Inoue, Atsushi
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Jiang, Binyan
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Kyriakopoulou, Dimitra
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Liu, Qiang
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Lovcha, Yuliya
1
Lu, Jin
1
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MNB working papers
CORE discussion papers : DP
Journal of financial econometrics
Journal of econometrics
205
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
79
Discussion paper / Tinbergen Institute
52
Economics letters
48
Econometric reviews
42
Journal of empirical finance
32
Journal of banking & finance
30
European journal of operational research : EJOR
29
Finance research letters
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
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20
International journal of theoretical and applied finance
20
The econometrics journal
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Journal of risk and financial management : JRFM
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Econometrics : open access journal
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International journal of forecasting
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Journal of risk
17
Journal of the American Statistical Association : JASA
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Journal of forecasting
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CEMMAP working papers / Centre for Microdata Methods and Practice
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The North American journal of economics and finance : a journal of financial economics studies
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NBER Working Paper
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Working paper
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Applied economics
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Applied economics letters
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SFB 649 discussion paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
11
CESifo working papers
10
Cambridge working papers in economics
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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
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:
4
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:
5
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:
6
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:
7
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:
8
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
9
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
10
The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 187-218
Persistent link: https://www.econbiz.de/10012878194
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