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subject:"Forecasting model"
~isPartOf:"Journal of financial econometrics"
~language:"eng"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Forecasting model
ARCH model
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
Volatility
13
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13
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Cai, Charlie X.
1
Cai, Yuzhi
1
Cipollini, Fabrizio
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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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Journal of financial econometrics
Journal of econometrics
118
International journal of forecasting
115
Journal of forecasting
73
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Econometric theory
46
Economics letters
42
Discussion paper / Tinbergen Institute
39
The econometrics journal
25
Econometric reviews
24
Journal of empirical finance
22
Working paper / Department of Econometrics and Business Statistics, Monash University
22
CREATES research paper
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Finance research letters
20
Applied economics
16
Economic modelling
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Journal of banking & finance
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Insurance / Mathematics & economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk and financial management : JRFM
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International journal of economics and financial issues : IJEFI
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Journal of risk
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Journal of the American Statistical Association : JASA
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Journal of time series econometrics
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Applied economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Working papers / Rutgers University, Department of Economics
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Econometrics : open access journal
11
European journal of operational research : EJOR
11
International Journal of Energy Economics and Policy : IJEEP
11
The North American journal of economics and finance : a journal of financial economics studies
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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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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Finance and economics discussion series
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Journal of mathematical finance
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ECONIS (ZBW)
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1
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
2
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:
3
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:
4
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
5
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
6
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
7
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
8
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
9
Intraday end-of-day volume prediction
Sancetta, Alessio
- In:
Journal of financial econometrics
19
(
2021
)
3
,
pp. 472-495
Persistent link: https://www.econbiz.de/10012654952
Saved in:
10
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
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