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isPartOf:"MNB working papers"
subject:"Volatilität"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Journal of financial econometrics"
~subject:"Analysis of variance"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatilität
Analysis of variance
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
Volatility
13
Correlation
9
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Sancetta, Alessio
2
Agrawal, Raj
1
Bauwens, Luc
1
Buccheri, Giuseppe
1
Cipollini, Fabrizio
1
De Nard, Gianluca
1
Gallo, Giampiero M.
1
Grassi, Stefano
1
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1
Hong, Seok Young
1
Hung, Mao-Wei
1
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1
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1
Ko, Yi-Chen
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Zhi
1
Livieri, Giulia
1
Lu, Jin
1
Lucas, André
1
Mancino, Maria Elvira
1
Marmi, Stefano
1
Nadler, Philip
1
Nolte, Ingmar
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Noureldin, Diaa
1
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1
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Sucarrat, Genaro
1
Tang, Cheng Yong
1
Taylor, Stephen
1
Toscano, Giacomo
1
Uhler, Caroline
1
Vocalelli, Giorgio
1
Wang, Jr-Yan
1
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MNB working papers
Discussion paper / Tinbergen Institute
Journal of financial econometrics
Journal of econometrics
128
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
45
Economics letters
25
Journal of empirical finance
23
Econometric reviews
22
Economic modelling
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Quantitative finance
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Finance research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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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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Journal of banking & finance
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The econometrics journal
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Journal of forecasting
11
Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of the American Statistical Association : JASA
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
9
Econometrics : open access journal
9
European journal of operational research : EJOR
9
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Computational economics
7
Journal of mathematical finance
7
The European journal of finance
7
Applied economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
Financial markets and portfolio management
6
International journal of financial engineering
6
Applied economics letters
5
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
Journal of quantitative economics
5
Journal of risk
5
Journal of time series econometrics
5
The journal of risk model validation
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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
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
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
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