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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
Estimation theory
351
Schätztheorie
351
Theorie
246
Theory
246
Statistical theory
45
Statistische Methodenlehre
45
Zeitreihenanalyse
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Nichtparametrisches Verfahren
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Article in journal
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58
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Nelson, Daniel B.
4
Phillips, Peter C. B.
4
Tauchen, George Eugene
3
Abadir, Karim Maher
2
Andrews, Donald W. K.
2
Foster, Dean P.
2
Gatheral, Jim
2
Hadri, Kaddour
2
Li, Jia
2
Sims, Christopher A.
2
Stock, James H.
2
Tzavalis, Elias
2
Uhlig, Harald
2
Watson, Mark W.
2
White, Halbert
2
Albani, Vinícius
1
Alvarez, Javier
1
Ammou, Samir Ben
1
Arellano, Manuel
1
Bai, Jushan
1
Baldeaux, jan
1
Bierens, Herman J.
1
Buescu, Cristin
1
Cezaro, Adriano de
1
Chen, Tzu-ying
1
Chen, Xiaohong
1
Ciogli, M.
1
Cooley, Thomas F.
1
DeJong, David Neil
1
Doornik, Jurgen A.
1
Dufour, Jean-Marie
1
El Qalli, Yassine
1
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1
Faust, Jon
1
Gallant, A. Ronald
1
Guhr, Thomas
1
Hamilton, James D.
1
Han, Chuan-Hsiang
1
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1
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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
International journal of theoretical and applied finance
Journal of econometrics
364
Econometric theory
167
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
161
Economics letters
151
Econometric reviews
96
International journal of forecasting
69
Journal of forecasting
61
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
Applied economics letters
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Econometrics : open access journal
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Economic modelling
44
The econometrics journal
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Journal of time series econometrics
40
Applied economics
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Journal of empirical finance
37
Journal of the American Statistical Association : JASA
37
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35
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33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
Oxford bulletin of economics and statistics
23
Finance research letters
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Journal of banking & finance
21
Journal of risk and financial management : JRFM
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Journal of financial econometrics
18
Quantitative finance
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International journal of economics and financial issues : IJEFI
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of macroeconomics
15
The review of economics and statistics
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Journal of economic dynamics & control
14
Quantitative economics : QE ; journal of the Econometric Society
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Journal of quantitative economics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Energy economics
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Central European journal of economic modelling and econometrics
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European journal of operational research : EJOR
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ECONIS (ZBW)
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1
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
2
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
3
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:
4
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
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
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
8
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
9
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
10
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
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