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subject:"Großbritannien"
subject:"Volatilität"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Estimation"
~subject:"Market microstructure"
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Großbritannien
Volatilität
Estimation
Market microstructure
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatility
16
Schätzung
15
ARCH model
11
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Audrino, Francesco
2
Corsi, Fulvio
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bos, Charles S.
1
Bu, Ruijun
1
Caldeira, João F.
1
Cappiello, Lorenzo
1
Carrasco, Marine
1
Chen, Yi-ting
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Giet, Ludovic
1
Gérard, Bruno
1
Hadri, Kaddour
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
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Janus, Paweł
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Kadareja, Arjan
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Koopman, Siem Jan
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Kotchoni, Rachidi
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Li, Yingying
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Lubrano, Michel
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Lv, Jinchi
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Mancino, Maria Elvira
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Manganelli, Simone
1
Mira, Antonietta
1
Moon, Seongman
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
Nagakura, Daisuke
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
294
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
156
Economics letters
128
Econometric reviews
71
Economic modelling
60
Discussion paper series / IZA
59
Applied economics letters
58
NBER Working Paper
56
Discussion paper / Tinbergen Institute
55
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
53
CEMMAP working papers / Centre for Microdata Methods and Practice
52
NBER working paper series
51
Applied economics
48
Journal of applied econometrics
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Working paper / National Bureau of Economic Research, Inc.
40
Journal of banking & finance
39
Working paper / Department of Econometrics and Business Statistics, Monash University
39
Econometric theory
37
The econometrics journal
37
Working paper
36
International journal of forecasting
34
Journal of empirical finance
34
IZA Discussion Paper
33
CESifo working papers
32
Discussion paper
32
Quantitative economics : QE ; journal of the Econometric Society
31
CREATES research paper
30
Discussion papers / CEPR
30
Econometrics : open access journal
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
26
Journal of forecasting
26
Journal of the American Statistical Association : JASA
26
Computational economics
25
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
24
The review of economics and statistics
24
International journal of economics and financial issues : IJEFI
23
Quantitative finance
23
SFB 649 discussion paper
23
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ECONIS (ZBW)
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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
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
3
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:
4
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
5
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:
6
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:
7
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:
8
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:
9
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
10
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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