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subject:"Monte Carlo simulation"
subject:"Time series analysis"
~isPartOf:"Journal of financial econometrics"
~source:"econis"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Monte Carlo simulation
Time series analysis
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Zeitreihenanalyse
14
Volatility
13
Volatilität
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Bauwens, Luc
1
Chen, Feng
1
Cipollini, Fabrizio
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Dunsmuir, William T.M.
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Journal of financial econometrics
Journal of econometrics
344
Econometric theory
164
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
160
Economics letters
155
Econometric reviews
100
International journal of forecasting
64
Applied economics letters
59
Journal of forecasting
56
Econometrics : open access journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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Computational economics
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Applied economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of time series econometrics
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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
40
Journal of the American Statistical Association : JASA
40
Journal of applied econometrics
31
Oxford bulletin of economics and statistics
27
Journal of empirical finance
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Journal of economic dynamics & control
20
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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16
European journal of operational research : EJOR
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Finance research letters
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Journal of macroeconomics
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The review of economics and statistics
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Journal of quantitative economics : official journal of the Indian Econometric Society
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of banking & finance
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Risks : open access journal
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Energy economics
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International journal of economics and financial issues : IJEFI
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Journal of quantitative economics
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1
Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.
;
Margaritella, Luca
;
Smeekes, Stephan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
Saved in:
2
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:
3
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:
4
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:
5
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
6
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
7
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:
8
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:
9
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:
10
Bootstrap confidence intervals and hypothesis testing for market information shares
Schweikert, Karsten
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 934-959
Persistent link: https://www.econbiz.de/10012799055
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