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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Applied economics"
~isPartOf:"Journal of mathematical finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
296
Schätztheorie
296
Time series analysis
88
Zeitreihenanalyse
88
Estimation
82
Schätzung
82
Theorie
51
Theory
51
ARCH model
34
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34
Volatilität
30
Regression analysis
26
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Article in journal
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30
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Kim, Jong-Min
2
Abbara, Omar
1
Abutaleb, Ahmed S.
1
Anatolyev, Stanislav
1
Bampinas, Georgios
1
Baruník, Jozef
1
Bishwal, Jaya Prakasah Narayan
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Blazsek, Szabolcs
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Bu, Ruijun
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1
Daníelsson, Jón
1
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1
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Epaphra, Manamba
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1
Esen, Halil Erturk
1
Flachaire, Emmanuel
1
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1
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1
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1
Hadri, Kaddour
1
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1
Hung, Jui-cheng
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1
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1
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Li, Jing
1
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1
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1
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Applied economics
Journal of mathematical finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
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Econometric theory
14
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
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Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
11
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10
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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
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Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
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Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
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The European journal of finance
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The journal of risk model validation
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Applied economics letters
4
Applied financial economics
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Cogent economics & finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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ECONIS (ZBW)
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
5
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
6
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
7
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
8
A note on the estimated GARCH coefficients from the S&P1500 universe
Bampinas, Georgios
;
Ladopoulos, Konstantinos
; …
- In:
Applied economics
50
(
2018
)
34/35
,
pp. 3647-3653
Persistent link: https://www.econbiz.de/10012059386
Saved in:
9
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
10
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
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