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subject:"Monte Carlo simulation"
subject:"Schätzung"
~isPartOf:"Journal of financial econometrics"
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Monte Carlo simulation
Schätzung
Estimation theory
48
Schätztheorie
48
Estimation
19
Time series analysis
14
Zeitreihenanalyse
14
Volatility
13
Volatilität
13
Correlation
9
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Sancetta, Alessio
2
Buccheri, Giuseppe
1
Casas, Isabel
1
Chen, Feng
1
Dunsmuir, William T.M.
1
Ferreira, Eva
1
Golinski, Adam
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Gu, Zhutong
1
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1
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1
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1
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1
Hung, Mao-Wei
1
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1
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1
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1
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1
Jung, Whayoung
1
Karabiyik, Hande
1
Ko, Yi-Chen
1
Lee, Ji Hyung
1
Liu, Cheng
1
Livieri, Giulia
1
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1
Lucas, André
1
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1
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1
Orbe-Mandaluniz, Susan
1
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1
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Journal of financial econometrics
Journal of econometrics
246
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
147
Economics letters
125
Econometric reviews
73
Applied economics letters
65
Discussion paper series / IZA
64
Economic modelling
61
NBER Working Paper
61
CEMMAP working papers / Centre for Microdata Methods and Practice
57
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
NBER working paper series
54
Applied economics
53
Discussion paper / Tinbergen Institute
53
Working paper / National Bureau of Economic Research, Inc.
45
Working paper / Department of Econometrics and Business Statistics, Monash University
43
Journal of applied econometrics
39
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
39
Working paper
38
The econometrics journal
37
Computational economics
36
IZA Discussion Paper
35
Quantitative economics : QE ; journal of the Econometric Society
34
Econometric theory
33
CESifo working papers
32
Econometrics : open access journal
32
Journal of the American Statistical Association : JASA
31
Discussion paper
30
Discussion papers / CEPR
29
Empirical economics : a quarterly journal of the Institute for Advanced Studies
28
Journal of banking & finance
27
European journal of operational research : EJOR
25
International journal of forecasting
24
Journal of empirical finance
24
The review of economics and statistics
23
Finance research letters
22
Journal of forecasting
21
CREATES research paper
20
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Insurance / Mathematics & economics
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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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