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subject:"Monte Carlo simulation"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Monte Carlo simulation
Volatility
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
Volatilität
13
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9
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Sancetta, Alessio
2
Buccheri, Giuseppe
1
Chen, Feng
1
Cipollini, Fabrizio
1
Dunsmuir, William T.M.
1
Gallo, Giampiero M.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Hong, Seok Young
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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1
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1
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1
Lu, Jin
1
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1
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1
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1
Nolte, Ingmar
1
Noureldin, Diaa
1
Opschoor, Anne
1
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1
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1
Toscano, Giacomo
1
Vocalelli, Giorgio
1
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Wee, Damien C.H.
1
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Journal of financial econometrics
Journal of econometrics
148
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Economics letters
45
Econometric reviews
39
Economic modelling
27
Computational economics
23
Econometric theory
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
The econometrics journal
21
Journal of empirical finance
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Applied economics
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International journal of forecasting
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Quantitative finance
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Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Finance research letters
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International journal of theoretical and applied finance
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Applied economics letters
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European journal of operational research : EJOR
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Journal of forecasting
14
Journal of banking & finance
13
Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
12
Finance and stochastics
10
Journal of economic dynamics & control
10
Journal of the American Statistical Association : JASA
10
Risks : open access journal
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
9
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
8
Journal of quantitative economics
8
Journal of risk
7
Quantitative economics : QE ; journal of the Econometric Society
7
Asia-Pacific financial markets
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Energy economics
6
International journal of financial engineering
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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
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:
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
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:
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
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:
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