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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"restricted"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"The econometrics journal"
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Stochastischer Prozess
Volatility
Estimation theory
119
Schätztheorie
119
Nichtparametrisches Verfahren
31
Nonparametric statistics
31
Regression analysis
28
Regressionsanalyse
28
Time series analysis
19
Zeitreihenanalyse
19
Panel
18
Panel study
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Estimation
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Schätzung
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Statistical test
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Statistischer Test
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Instrumental variables
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IV-Schätzung
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Bootstrap approach
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Bootstrap-Verfahren
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Causality analysis
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Forecasting model
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Kausalanalyse
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Prognoseverfahren
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Statistical inference
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Korrelation
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Volatilität
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VAR model
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VAR-Modell
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ARCH model
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ARCH-Modell
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Götz, Thomas B.
1
Hauzenberger, Klemens
1
Hounyo, Ulrich
1
Hubner, Stefan
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Jacod, Jean
1
Li, Jia
1
Li, Yingying
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Mykland, Per A.
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Tauchen, George Eugene
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Veliyev, Bezirgen
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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
The econometrics journal
Journal of econometrics
90
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Econometric reviews
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Economics letters
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Economic modelling
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Finance research letters
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International journal of forecasting
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Econometric theory
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Journal of financial econometrics
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Journal of empirical finance
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The North American journal of economics and finance : a journal of financial economics studies
10
Computational economics
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European journal of operational research : EJOR
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Journal of forecasting
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Operations research
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Journal of quantitative economics
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Journal of risk
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Operations research letters
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Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Discussion papers / CEPR
5
Energy economics
5
International journal of financial engineering
5
Journal of mathematical finance
5
Journal of time series econometrics
5
Mathematics of operations research
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
Finance and stochastics
4
International journal of production research
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The journal of risk model validation
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Theoretical economics letters
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1
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
Saved in:
2
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
3
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
4
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
5
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
6
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
7
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
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