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subject:"Estimation"
subject:"Volatilität"
~isPartOf:"Journal of financial econometrics"
~subject:"Nichtparametrisches Verfahren"
~type:"article"
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Estimation
Volatilität
Nichtparametrisches Verfahren
Estimation theory
48
Schätztheorie
48
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
Volatility
13
Correlation
9
Korrelation
9
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22
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Sancetta, Alessio
2
Buccheri, Giuseppe
1
Casas, Isabel
1
Cipollini, Fabrizio
1
Ferreira, Eva
1
Gallo, Giampiero M.
1
Golinski, Adam
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Gu, Zhutong
1
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1
Han, Heejoon
1
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1
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1
Hung, Mao-Wei
1
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1
Jach, Agnieszka
1
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1
Jiang, Yixiao
1
Jung, Whayoung
1
Karabiyik, Hande
1
Ko, Yi-Chen
1
Lee, Ji Hyung
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Zhi
1
Livieri, Giulia
1
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1
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1
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1
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1
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1
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1
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1
Narayan, Seema
1
Nolte, Ingmar
1
Noureldin, Diaa
1
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1
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Journal of financial econometrics
Journal of econometrics
524
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
215
Economics letters
180
Econometric reviews
131
Econometric theory
131
Journal of the American Statistical Association : JASA
94
The econometrics journal
87
Applied economics letters
66
Economic modelling
66
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
61
Quantitative economics : QE ; journal of the Econometric Society
57
Journal of applied econometrics
52
Applied economics
51
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
International journal of forecasting
41
Journal of banking & finance
41
European journal of operational research : EJOR
40
Econometrics : open access journal
37
Computational economics
34
Journal of empirical finance
34
Insurance / Mathematics & economics
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
Journal of risk and financial management : JRFM
28
Journal of forecasting
27
The review of economics and statistics
27
Energy economics
25
Finance research letters
23
International journal of economics and financial issues : IJEFI
23
Quantitative finance
21
Journal of productivity analysis
20
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of economic dynamics & control
17
Journal of risk
16
The empirical economics letters : a monthly international journal of economics
16
American journal of agricultural economics
15
Journal of econometric methods
15
Operations research
15
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ECONIS (ZBW)
22
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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
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
3
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:
4
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
5
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:
6
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:
7
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:
8
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
9
Estimating unobserved soft adjustment in credit rating models : before and after the Dodd-Frank act
Gu, Zhutong
;
Jiang, Yixiao
;
Yang, Shuyang
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1791-1819
Persistent link: https://www.econbiz.de/10014444750
Saved in:
10
Integrating structural and reduced-form methods in empirical finance
Whited, Toni Marion
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 597-615
Persistent link: https://www.econbiz.de/10014314764
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