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subject:"Japan"
subject:"Share price"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Statistical inference"
~subject:"Stochastischer Prozess"
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Japan
Share price
Statistical inference
Stochastischer Prozess
Estimation theory
73
Schätztheorie
73
Time series analysis
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Volatility
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Ahlgren, Niklas
1
Antell, Jan
1
Balter, Janine
1
Bu, Ruijun
1
Caldeira, João F.
1
Engle, Robert F.
1
Feng, Dingan
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Frederiksen, Per
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Giet, Ludovic
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Nogales, Francisco J.
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Rodrigues, Paulo M. M.
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Rubia, Antonio
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Rydberg, Tina Hvild
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1
Shephard, Neil G.
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Song, Peter X.-K.
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Spokojnyj, Vladimir G.
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
76
CEMMAP working papers / Centre for Microdata Methods and Practice
58
Economics letters
39
Econometric theory
37
Econometric reviews
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Cowles Foundation Discussion Paper
29
Discussion paper / Tinbergen Institute
29
CREATES research paper
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Cowles Foundation discussion paper
28
The econometrics journal
26
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24
Journal of the American Statistical Association : JASA
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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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Journal of empirical finance
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NBER Working Paper
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NBER working paper series
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Econometrics : open access journal
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European journal of operational research : EJOR
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
SFB 649 discussion paper
15
Journal of applied econometrics
14
Computational economics
13
Discussion papers of interdisciplinary research project 373
13
Journal of banking & finance
13
Working paper / Department of Econometrics and Business Statistics, Monash University
13
Cambridge working papers in economics
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Insurance / Mathematics & economics
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Journal of financial econometrics
12
Operations research
12
Quantitative finance
12
CESifo working papers
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Discussion paper series / IZA
11
Journal of forecasting
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Journal of risk and financial management : JRFM
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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
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
Saved in:
6
Estimation of distortion risk measures
Tsukahara, Hideatsu
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
Saved in:
7
On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman
;
Velasco, Carlos
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
Saved in:
8
Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations
Bu, Ruijun
;
Giet, Ludovic
;
Hadri, Kaddour
;
Lubrano, Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 198-236
Persistent link: https://www.econbiz.de/10009125140
Saved in:
9
Bias-reduced estimation of long-memory stochastic volatility
Frederiksen, Per
;
Nielsen, Morten Ørregaard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 496-512
Persistent link: https://www.econbiz.de/10003778957
Saved in:
10
Seeing the wood for the trees : a critical evaluation of methods to estimate the parameters of stochastic differential equations
Hurn, Stan
;
Jeisman, J. I.
;
Lindsay, Kenneth A.
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 390-455
Persistent link: https://www.econbiz.de/10003518500
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