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isPartOf:"The journal of finance : the journal of the American Finance Association"
subject:"Volatilität"
~isPartOf:"Finance research letters"
~isPartOf:"Journal of econometrics"
~subject:"Autokorrelation"
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Volatilität
Autokorrelation
Estimation theory
1,731
Schätztheorie
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394
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394
Zeitreihenanalyse
322
Time series analysis
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Todorov, Viktor
10
Lee, Lung-fei
9
Tauchen, George Eugene
7
Andersen, Torben
6
Li, Jia
6
Sun, Yixiao
6
Kim, Donggyu
5
Li, Yingying
5
Zakoïan, Jean-Michel
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Francq, Christian
4
Mykland, Per A.
4
Sun, Yiguo
4
Wang, Hansheng
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Davis, Richard A.
3
Gupta, Abhimanyu
3
Li, Dong
3
Li, Guodong
3
Meddahi, Nour
3
Park, Joon Y.
3
Robinson, Peter M.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Xu, Xingbai
3
Zhang, Lan
3
Andreou, Elena
2
Bauwens, Luc
2
Chen, Rong
2
Chong, Terence Tai-Leung
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Clinet, Simon
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Fan, Jianqing
2
Gallant, A. Ronald
2
Gonçalves, Sílvia
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Hillier, Grant H.
2
Huang, Danyang
2
Hwang, Jungbin
2
Jasiak, Joann
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The journal of finance : the journal of the American Finance Association
Finance research letters
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
Economics letters
59
Econometric reviews
51
Econometric theory
45
Discussion paper / Tinbergen Institute
39
Journal of empirical finance
27
The econometrics journal
24
Economic modelling
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
CREATES research paper
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
International journal of forecasting
17
Econometrics : open access journal
16
Journal of financial econometrics
16
Quantitative finance
16
Cowles Foundation discussion paper
15
Journal of banking & finance
14
Applied economics letters
13
International journal of theoretical and applied finance
13
Journal of forecasting
13
Regional science & urban economics
13
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
13
Journal of risk and financial management : JRFM
12
The North American journal of economics and finance : a journal of financial economics studies
12
International journal of economics and financial issues : IJEFI
11
CESifo working papers
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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NBER Working Paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
SFB 649 discussion paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
9
Working papers
9
Cambridge working papers in economics
8
Computational economics
8
Cowles Foundation Discussion Paper
8
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Discussion papers of interdisciplinary research project 373
8
European journal of operational research : EJOR
8
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ECONIS (ZBW)
208
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1
Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time
Li, Bogui
;
Chen, Hao
- In:
Finance research letters
59
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014445336
Saved in:
2
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
4
Social threshold regression
Konstantinidi, Antri
;
Kourtellos, Andros
;
Sun, Yiguo
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2057-2081
Persistent link: https://www.econbiz.de/10014471444
Saved in:
5
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
6
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
Saved in:
7
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
8
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
9
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
10
Maximum likelihood estimation for α-stable double autoregressive models
Li, Dong
;
Tao, Yuxin
;
Yang, Yaxing
;
Zhang, Rongmao
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014332316
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