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isPartOf:"The journal of finance : the journal of the American Finance Association"
subject:"Volatilität"
~isPartOf:"Journal of forecasting"
~isPartOf:"The econometrics journal"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Volatilität
ARCH model
Estimation theory
422
Schätztheorie
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Theorie
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Time series analysis
93
Zeitreihenanalyse
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Forecasting model
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Mukherjee, Kanchan
2
Preminger, Arie
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Taylor, James W.
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Čížek, Pavel
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Abraham, Bovas
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The journal of finance : the journal of the American Finance Association
Journal of forecasting
The econometrics journal
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
38
Discussion paper / Tinbergen Institute
37
Econometric reviews
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Journal of empirical finance
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CREATES research paper
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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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Economic modelling
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International journal of forecasting
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Finance research letters
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Journal of banking & finance
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Journal of financial econometrics
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International journal of economics and financial issues : IJEFI
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International journal of theoretical and applied finance
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Journal of risk
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Journal of risk and financial management : JRFM
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
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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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Econometrics : open access journal
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SFB 649 discussion paper
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Computational economics
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Journal of mathematical finance
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Journal of time series econometrics
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NBER Working Paper
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Finance and stochastics
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Handbook of financial time series
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The European journal of finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
8
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
4
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
5
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
6
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
Saved in:
7
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
8
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
9
Least-squares estimation of GARCH(1,1) models with heavy-tailed errors
Preminger, Arie
;
Storti, Giuseppe
- In:
The econometrics journal
20
(
2017
)
2
,
pp. 221-258
Persistent link: https://www.econbiz.de/10011757387
Saved in:
10
The impact of parameter and model uncertainty on market risk predictions from GARCH‐type models
Ardia, David
;
Kolly, Jeremy
;
Trottier, Denis‐Alexandre
- In:
Journal of forecasting
36
(
2017
)
7
,
pp. 808-823
Persistent link: https://www.econbiz.de/10011860735
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