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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:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatilität
Maximum-Likelihood-Schätzung
Time series analysis
Estimation theory
90
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90
Estimation
21
Schätzung
21
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19
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Bauwens, Luc
5
Hafner, Christian M.
4
Otranto, Edoardo
3
Preminger, Arie
3
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2
Sancetta, Alessio
2
Bouezmarni, Taoufik
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Buccheri, Giuseppe
1
Chen, Feng
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Dunsmuir, William T.M.
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Dēmos, Antōnēs A.
1
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1
Gallo, Giampiero M.
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Grassi, Stefano
1
Grønneberg, Steffen
1
Han, Heejoon
1
Hecq, Alain W. J.
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Hong, Seok Young
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MNB working papers
CORE discussion papers : DP
Journal of financial econometrics
Journal of econometrics
435
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
182
Econometric theory
175
Economics letters
174
Discussion paper / Tinbergen Institute
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International journal of forecasting
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68
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65
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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NBER Working Paper
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The econometrics journal
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Cowles Foundation discussion paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
44
Applied economics
42
Journal of time series econometrics
42
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
41
Computational economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Journal of empirical finance
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EUI working paper / ECO
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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NBER working paper series
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SFB 649 discussion paper
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Discussion paper / Center for Economic Research, Tilburg University
28
NBER technical working paper series
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Working paper
27
Working paper / National Bureau of Economic Research, Inc.
27
Working paper series
27
Discussion paper
26
Oxford bulletin of economics and statistics
26
CEMMAP working papers / Centre for Microdata Methods and Practice
25
Journal of risk and financial management : JRFM
25
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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
Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.
;
Margaritella, Luca
;
Smeekes, Stephan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
Saved in:
4
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
5
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:
6
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:
7
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:
8
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
9
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:
10
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
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