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isPartOf:"MNB working papers"
subject:"Volatilität"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Empirical economics : a quarterly journal of the Institute for Advanced Studies"
~isPartOf:"Journal of financial econometrics"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatilität
Estimation theory
109
Schätztheorie
109
Estimation
45
Schätzung
45
Time series analysis
23
Zeitreihenanalyse
23
Regression analysis
19
Regressionsanalyse
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Sancetta, Alessio
2
Assaf, Ata
1
Beaumont, Paul Michael
1
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1
Chon, Sora
1
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1
Gallo, Giampiero M.
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
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1
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1
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1
Livieri, Giulia
1
Lu, Jin
1
Lucas, André
1
Mancino, Maria Elvira
1
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Nadler, Philip
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1
Vocalelli, Giorgio
1
Wang, Jr-Yan
1
Wang, Yudong
1
Wiesen, Thomas F. P.
1
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MNB working papers
Discussion paper / Tinbergen Institute
Empirical economics : a quarterly journal of the Institute for Advanced Studies
Journal of financial econometrics
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Quantitative finance
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Econometric theory
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International journal of forecasting
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International journal of theoretical and applied finance
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
11
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10
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10
Econometrics : open access journal
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
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Computational economics
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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International journal of financial engineering
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Asia-Pacific financial markets
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CBN journal of applied statistics
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European journal of operational research : EJOR
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The journal of risk model validation
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Applied economics letters
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Applied financial economics
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Cogent economics & finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
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1
A joint impulse response function for vector autoregressive models
Wiesen, Thomas F. P.
;
Beaumont, Paul Michael
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
4
,
pp. 1553-1585
Persistent link: https://www.econbiz.de/10014519875
Saved in:
2
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:
3
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:
4
Bayesian estimation of the long-run trend of the US economy
Kim, Jaeho
;
Chon, Sora
- In:
Empirical economics : a quarterly journal of the …
62
(
2022
)
2
,
pp. 461-485
Persistent link: https://www.econbiz.de/10012819475
Saved in:
5
Forecasting the equity premium using weighted regressions : Does the jump variation help?
Zhang, Zhikai
;
Zhang, Yaojie
;
Wang, Yudong
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 2049-2082
Persistent link: https://www.econbiz.de/10014520108
Saved in:
6
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:
7
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:
8
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:
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
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
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