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isPartOf:"MNB working papers"
subject:"Volatilität"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Exchange rate"
~subject:"Markov-Kette"
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Search: subject_exact:"Estimation theory"
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Volatilität
Exchange rate
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Estimation theory
190
Schätztheorie
190
Theorie
87
Theory
87
Time series analysis
67
Zeitreihenanalyse
67
Estimation
45
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45
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Nonparametric statistics
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Härdle, Wolfgang
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Byoung Hark Yoo
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1
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MNB working papers
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
135
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Discussion paper / Tinbergen Institute
38
Economics letters
34
Econometric reviews
28
Economic modelling
22
Journal of empirical finance
22
International journal of forecasting
20
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18
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17
Quantitative finance
17
Econometric theory
16
Journal of banking & finance
15
Finance research letters
14
Journal of financial econometrics
14
International journal of theoretical and applied finance
13
The econometrics journal
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
International journal of economics and financial issues : IJEFI
12
NBER Working Paper
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
The North American journal of economics and finance : a journal of financial economics studies
12
Working paper / National Bureau of Economic Research, Inc.
12
Econometrics : open access journal
11
Computational economics
10
European journal of operational research : EJOR
10
Journal of risk and financial management : JRFM
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NBER working paper series
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SFB 649 discussion paper
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Applied economics
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Discussion paper
9
Journal of applied econometrics
9
Working paper / Department of Econometrics and Business Statistics, Monash University
9
Working papers
9
Finance and stochastics
8
Journal of mathematical finance
8
Applied economics letters
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ECONIS (ZBW)
37
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1
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:
2
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
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
Shang, Han Lin
;
Zhang, Xibin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 55-71
Persistent link: https://www.econbiz.de/10013334620
Saved in:
5
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
6
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
7
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
8
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
9
A Markov-switching regression model with non-Gaussian innovations : estimation and testing
De Angelis, Luca
;
Viroli, Cinzia
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011705723
Saved in:
10
Estimation of long memory in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
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