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subject:"Core"
subject:"Nonparametric statistics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH-Modell"
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Core
Nonparametric statistics
ARCH-Modell
Estimation theory
73
Schätztheorie
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Time series analysis
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Zeitreihenanalyse
20
Volatility
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Volatilität
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Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Audrino, Francesco
1
Birke, Melanie
1
Boudt, Kris
1
Caldeira, João F.
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Carrasco, Marine
1
Chen, Yi-ting
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Christoffersen, Peter F.
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Di, Jianing
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Engle, Robert F.
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Fan, Yingying
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Gil-Bazo, Javier
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Haag, Berthold R.
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Härdle, Wolfgang
1
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1
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Lv, Jinchi
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Moura, Guilherme Valle
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
361
Econometric theory
137
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
135
CEMMAP working papers / Centre for Microdata Methods and Practice
124
Economics letters
100
Econometric reviews
96
Journal of the American Statistical Association : JASA
80
The econometrics journal
71
Discussion paper / Tinbergen Institute
49
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
49
Discussion papers of interdisciplinary research project 373
45
Working paper / Department of Econometrics and Business Statistics, Monash University
45
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
40
Cowles Foundation discussion paper
39
SFB 649 discussion paper
37
Discussion paper series / IZA
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Quantitative economics : QE ; journal of the Econometric Society
35
Série des documents de travail / Centre de Recherche en Économie et Statistique
35
CREATES research paper
33
Econometrics papers
33
Cowles Foundation Discussion Paper
29
European journal of operational research : EJOR
28
International journal of forecasting
28
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
Econometrics : open access journal
26
Boston College working papers in economics
24
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
24
Economic modelling
22
Working papers / TSE : WP
22
Journal of empirical finance
21
Applied economics
20
Applied economics letters
20
Journal of risk and financial management : JRFM
20
LSE STICERD Research Paper
20
CORE discussion papers : DP
19
Computational economics
19
Discussion paper / Center for Economic Research, Tilburg University
19
NBER Working Paper
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1
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
2
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
3
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
4
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
5
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
6
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
7
Uniform confidence bands for pricing kernels
Härdle, Wolfgang
;
Okhrin, Yarema
;
Wang, Weining
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 376-413
Persistent link: https://www.econbiz.de/10011339301
Saved in:
8
One-step semiparametric estimation of the GARCH model
Di, Jianing
;
Gangopadhyay, Ashis
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
Saved in:
9
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
10
GARCH parameter estimation using high-frequency data
Visser, Marcel P.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 162-197
Persistent link: https://www.econbiz.de/10009125144
Saved in:
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