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isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
subject:"Volatility"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Estimation theory"
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Volatility
Maximum-Likelihood-Schätzung
Monte Carlo simulation
Estimation theory
339
Schätztheorie
339
Theorie
158
Theory
158
Time series analysis
77
Zeitreihenanalyse
77
Estimation
41
Schätzung
41
Nichtparametrisches Verfahren
32
Nonparametric statistics
32
ARCH model
26
ARCH-Modell
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Regression analysis
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Volatilität
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Statistical distribution
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Markov chain
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Statistical test
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Maximum likelihood estimation
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Stochastic process
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Stochastischer Prozess
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Cointegration
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Kointegration
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Monte-Carlo-Simulation
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Sampling
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Statistical theory
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Zakoïan, Jean-Michel
6
Francq, Christian
5
Gouriéroux, Christian
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Jasiak, Joann
3
Enders, Walter
2
Monfort, Alain
2
Abbara, Omar
1
Anatolyev, Stanislav
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Baruník, Jozef
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Bertholon, Henri
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Blazsek, Szabolcs
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Broze, Laurence
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Bu, Ruijun
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Casella, George
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Chan, Jennifer So Kuen
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Cheng, Jie
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Chevallier, Julien
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Chuffart, Thomas
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Coudin, Elise
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Hong, Han
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Horváth, Lajos
1
Hou, Weijie
1
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
222
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
Economics letters
66
Discussion paper / Tinbergen Institute
63
Econometric reviews
55
Economic modelling
33
Econometric theory
30
Computational economics
29
The econometrics journal
28
CREATES research paper
24
European journal of operational research : EJOR
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
Applied economics
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Journal of empirical finance
21
Applied economics letters
20
International journal of forecasting
20
Working paper / National Bureau of Economic Research, Inc.
20
CEMMAP working papers / Centre for Microdata Methods and Practice
19
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
Finance research letters
18
Journal of forecasting
18
Quantitative finance
18
Working paper / Department of Econometrics and Business Statistics, Monash University
18
Journal of risk and financial management : JRFM
17
International journal of theoretical and applied finance
16
Journal of financial econometrics
16
NBER working paper series
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Working paper
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Insurance / Mathematics & economics
15
Journal of economic dynamics & control
15
Journal of banking & finance
14
Statistics in transition : an international journal of the Polish Statistical Association
14
Discussion paper series / IZA
13
The North American journal of economics and finance : a journal of financial economics studies
13
Quantitative economics : QE ; journal of the Econometric Society
12
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ECONIS (ZBW)
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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
Fast maximum likelihood estimation of parameters for square root and Bessel processes
Fergusson, Kevin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 143-170
Persistent link: https://www.econbiz.de/10012657679
Saved in:
3
Approximate Bayesian inference for agent-based models in economics : a case study
Lux, Thomas
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
4
,
pp. 423-447
Persistent link: https://www.econbiz.de/10014372903
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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