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subject:"Share price"
type_genre:"Article in journal"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The European journal of finance"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Share price
ARCH model
Estimation theory
616
Schätztheorie
616
Theorie
202
Theory
202
Time series analysis
141
Zeitreihenanalyse
141
Estimation
135
Schätzung
135
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Bauwens, Luc
2
Bollerslev, Tim
2
Hautsch, Nikolaus
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Ling, Shiqing
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Shephard, Neil G.
2
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2
Sucarrat, Genaro
2
Tsay, Ruey S.
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Amado, Cristina
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Ataullah, Ali
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Ausín, M. Concepción
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Bibinger, Markus
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1
Chaves, Leonardo Salim Saker
1
Chen, Wilson Ye
1
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1
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1
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1
Elliott, Robert J.
1
Engle, Robert F.
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1
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1
Gungor, Sermin
1
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1
Han, Heejoon
1
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1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The European journal of finance
Journal of econometrics
82
Econometric theory
36
Economics letters
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of empirical finance
20
Journal of banking & finance
18
Finance research letters
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Econometric reviews
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Journal of forecasting
16
Economic modelling
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International journal of economics and financial issues : IJEFI
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International journal of forecasting
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The econometrics journal
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Journal of risk
12
Applied economics
11
Econometrics : open access journal
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Journal of financial econometrics
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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
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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
10
Journal of time series econometrics
10
Journal of mathematical finance
9
Applied economics letters
8
International review of financial analysis
8
Quantitative finance
8
Computational economics
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Journal of economic dynamics & control
7
Journal of financial and quantitative analysis : JFQA
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The journal of finance : the journal of the American Finance Association
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The review of financial studies
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Annals of financial economics
6
Applied financial economics
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International Journal of Energy Economics and Policy : IJEEP
6
International journal of economics and finance
6
International review of economics & finance : IREF
6
Review of quantitative finance and accounting
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1
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
2
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
3
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
4
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
5
A Bayesian quantile time series model for asset returns
Griffin, Jim E.
;
Mitrodima, Gelly
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 16-27
Persistent link: https://www.econbiz.de/10012804077
Saved in:
6
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
Saved in:
7
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
8
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
9
Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye
;
Gerlach, Richard H.
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
Saved in:
10
Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.
;
Kyriakopoulou, Dimitra
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
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