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subject:"Time series analysis"
subject:"United States"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~type_genre:"Aufsatz in Zeitschrift"
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Time series analysis
United States
Estimation
46
Schätzung
46
Volatility
29
Volatilität
29
Capital income
22
Kapitaleinkommen
22
Zeitreihenanalyse
22
Theorie
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realized volatility
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Aktienmarkt
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Factor analysis
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high-frequency data
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Aufsatz in Zeitschrift
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Andreou, Elena
1
Bu, Ruijun
1
Calzolari, Giorgio
1
Cenesizoglu, Tolga
1
Chen, Qiang
1
Erdemlioglu, Deniz
1
Gagliardini, Patrick
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Gerlach, Richard
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Hassler, Uwe
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Hong, Seok Young
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Hung, Mao-Wei
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Ibrushi, Denada
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Inoue, Atsushi
1
Jach, Agnieszka
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Janus, Paweł
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Jiang, Binyan
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Jucknewitz, Roland
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Jung, Whayoung
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Livieri, Giulia
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1
Mancino, Maria Elvira
1
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1
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Journal of financial econometrics
Economic modelling
98
Applied economics
92
Journal of econometrics
86
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
85
Energy economics
69
Economics letters
64
Applied economics letters
62
The North American journal of economics and finance : a journal of financial economics studies
57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
American economic journal : a journal of the American Economic Association
54
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
51
International journal of forecasting
51
International review of economics & finance : IREF
50
Finance research letters
49
Journal of economic dynamics & control
33
The review of financial studies
33
The American economic review
30
Academy of Management journal : AMJ
28
Journal of applied econometrics
28
Econometric reviews
26
Journal of banking & finance
24
Research in international business and finance
24
Journal of empirical finance
23
Journal of macroeconomics
23
International review of financial analysis
22
Empirical economics : a quarterly journal of the Institute for Advanced Studies
21
Computational economics
20
The journal of finance : the journal of the American Finance Association
20
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
20
Journal of forecasting
18
The review of economics and statistics
18
Macroeconomic dynamics
17
The quarterly journal of economics
17
Journal of international money and finance
16
Quantitative finance
16
Economic research
15
International journal of finance & economics : IJFE
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Journal of financial and quantitative analysis : JFQA
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Journal of international financial markets, institutions & money
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ECONIS (ZBW)
23
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
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:
3
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:
4
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
5
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
6
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
7
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
Saved in:
8
Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 316-367
Persistent link: https://www.econbiz.de/10014314751
Saved in:
9
Forecasting under long memory
Hassler, Uwe
;
Pohle, Marc-Oliver
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
Saved in:
10
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
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