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subject:"Prognoseverfahren"
subject:"USA"
~isPartOf:"Journal of financial econometrics"
~subject:"Panel study"
~subject:"Volatility"
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Prognoseverfahren
USA
Panel study
Volatility
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
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Sancetta, Alessio
3
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Cipollini, Fabrizio
1
Gallo, Giampiero M.
1
Grassi, Stefano
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
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1
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1
Livieri, Giulia
1
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1
Lucas, André
1
Luger, Richard
1
Mancino, Maria Elvira
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Shin, Yongcheol
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1
Tang, Cheng Yong
1
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Journal of financial econometrics
Journal of econometrics
357
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
201
Economics letters
151
International journal of forecasting
117
Econometric reviews
91
Journal of forecasting
76
Discussion paper / Tinbergen Institute
64
The econometrics journal
63
Econometric theory
49
CEMMAP working papers / Centre for Microdata Methods and Practice
48
Working paper / Department of Econometrics and Business Statistics, Monash University
48
The review of economics and statistics
47
Working paper / National Bureau of Economic Research, Inc.
44
Journal of applied econometrics
40
Discussion paper series / IZA
39
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
39
CESifo working papers
38
Economic modelling
36
Journal of empirical finance
36
CREATES research paper
35
Applied economics
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Applied economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
NBER working paper series
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
Oxford bulletin of economics and statistics
29
Working paper
29
Discussion paper
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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NBER Working Paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Cambridge working papers in economics
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Computational economics
23
Econometrics : open access journal
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Journal of banking & finance
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American journal of agricultural economics
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Journal of the American Statistical Association : JASA
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Quantitative finance
20
Finance research letters
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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
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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