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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Panel"
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Stochastischer Prozess
Volatility
Panel
Estimation theory
148
Schätztheorie
148
Estimation
43
Schätzung
42
Time series analysis
31
Zeitreihenanalyse
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Volatilität
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Theorie
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Theory
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English
36
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Alexander, Carol
1
Andreou, Alena
1
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Bos, Charles S.
1
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1
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1
Bu, Ruijun
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Dang, Viet Anh
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1
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1
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1
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Journal of banking & finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
293
Economics letters
127
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
89
Econometric reviews
85
Discussion paper / Tinbergen Institute
54
The econometrics journal
53
Econometric theory
46
CEMMAP working papers / Centre for Microdata Methods and Practice
40
Economic modelling
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Discussion paper series / IZA
31
CREATES research paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
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CESifo working papers
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Applied economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometrics : open access journal
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Journal of empirical finance
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Cambridge working papers in economics
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Cowles Foundation 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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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
International journal of forecasting
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Journal of risk and financial management : JRFM
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Applied economics
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Computational economics
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European journal of operational research : EJOR
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Oxford bulletin of economics and statistics
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Finance research letters
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Journal of financial econometrics
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Quantitative finance
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
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1
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
2
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
3
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
4
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
5
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
6
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
7
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
8
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
Journal of banking & finance
72
(
2016
),
pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Saved in:
9
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
10
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
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