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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Finance research letters"
~isPartOf:"Journal of financial econometrics"
~subject:"Sampling"
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Search: subject_exact:"Estimation theory"
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Volatility
Sampling
Estimation theory
110
Schätztheorie
110
Estimation
37
Schätzung
37
Time series analysis
25
Volatilität
25
Zeitreihenanalyse
25
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23
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31
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Kleibergen, Frank
4
Kong, Lingwei
4
Zhan, Zhaoguo
4
Khalaf, Lynda
2
Peñaranda, Francisco
2
Sancetta, Alessio
2
Wu, Xinyu
2
Zaffaroni, Paolo
2
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1
Ardia, David
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Finance research letters
Journal of financial econometrics
Journal of econometrics
158
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Economics letters
49
Econometric reviews
33
Statistics in transition : an international journal of the Polish Statistical Association
32
Journal of the American Statistical Association : JASA
24
Journal of empirical finance
23
Economic modelling
21
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
The econometrics journal
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International journal of forecasting
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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International journal of theoretical and applied finance
13
Journal of banking & finance
13
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11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of risk and financial management : JRFM
11
The North American journal of economics and finance : a journal of financial economics studies
11
European journal of operational research : EJOR
10
Journal of applied econometrics
10
Journal of forecasting
10
Applied economics letters
9
International journal of economics and financial issues : IJEFI
9
Statistical papers
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Computational economics
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Finance and stochastics
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The review of economics and statistics
8
CBN journal of applied statistics
7
International journal of financial engineering
7
Journal of mathematical finance
7
Journal of quantitative economics
7
Metrika : international journal for theoretical and applied statistics
7
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
6
Asia-Pacific financial markets
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
3
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
4
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
5
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:
6
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:
7
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
8
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
Saved in:
9
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
10
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
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