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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:"Varianzanalyse"
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Search: subject_exact:"Estimation theory"
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Volatilität
Maximum-Likelihood-Schätzung
Varianzanalyse
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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English
30
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Bauwens, Luc
5
Hafner, Christian M.
4
Otranto, Edoardo
3
Preminger, Arie
3
Sancetta, Alessio
2
Agrawal, Raj
1
Bauwensa, Luc
1
Braione, Manuela
1
Buccheri, Giuseppe
1
Chen, Feng
1
Cipollini, Fabrizio
1
De Nard, Gianluca
1
Duan, Jin-Chuan
1
Dunsmuir, William T.M.
1
Dēmos, Antōnēs A.
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
1
Jiang, Binyan
1
Ko, Yi-Chen
1
Kyriakopoulou, Dimitra
1
Laurent, Sébastien
1
Lindsay, Kenneth A.
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Zhi
1
Livieri, Giulia
1
Lovcha, Yuliya
1
Lu, Jin
1
Lucas, André
1
Mancino, Maria Elvira
1
Marmi, Stefano
1
Nadler, Philip
1
Nolte, Ingmar
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MNB working papers
CORE discussion papers : DP
Journal of financial econometrics
Journal of econometrics
203
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
68
Discussion paper / Tinbergen Institute
51
Economics letters
46
Econometric reviews
40
Economic modelling
26
CREATES research paper
25
Journal of empirical finance
24
Journal of the American Statistical Association : JASA
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Econometric theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The econometrics journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Finance research letters
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Quantitative finance
19
European journal of operational research : EJOR
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Econometrics : open access journal
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International journal of forecasting
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Journal of banking & finance
15
Journal of forecasting
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Journal of risk and financial management : JRFM
15
Computational economics
14
International journal of theoretical and applied finance
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NBER Working Paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
14
The North American journal of economics and finance : a journal of financial economics studies
13
CEMMAP working papers / Centre for Microdata Methods and Practice
12
SFB 649 discussion paper
12
Statistics in transition : an international journal of the Polish Statistical Association
12
Working paper
12
Insurance / Mathematics & economics
11
Working paper / Department of Econometrics and Business Statistics, Monash University
11
Applied economics
10
Applied economics letters
10
Série des documents de travail
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CESifo working papers
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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
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:
7
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:
8
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:
9
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:
10
Modelling realized covariance matrices: a class of Hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
-
2020
Persistent link: https://www.econbiz.de/10012429316
Saved in:
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