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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The econometrics journal"
~subject:"Autocorrelation"
~subject:"Korrelation"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
Korrelation
Estimation theory
316
Schätztheorie
316
Nichtparametrisches Verfahren
61
Nonparametric statistics
61
Regression analysis
59
Regressionsanalyse
59
Time series analysis
51
Zeitreihenanalyse
51
Estimation
47
Schätzung
47
Statistical test
45
Statistischer Test
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40
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Theorie
31
Theory
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24
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24
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24
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23
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23
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22
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22
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20
Prognoseverfahren
20
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18
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16
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16
Instrumental variables
15
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15
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15
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Article in journal
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54
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54
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Lee, Lung-fei
2
Sancetta, Alessio
2
Sun, Yixiao
2
Taylor, Stephen
2
Zou, Guohua
2
Abadir, Karim Maher
1
Aboutaleb, Youssef M.
1
Agrawal, Raj
1
Bai, Jushan
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
Chang, Pao-li
1
Chiong, Khai Xiang
1
Chong, Terence Tai-Leung
1
Cipollini, Fabrizio
1
Coudin, Elise
1
Dahl, Christian M.
1
Dai, Runyu
1
Danaf, Mazen
1
De Nard, Gianluca
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
Hautsch, Nikolaus
1
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1
Hong, Seok Young
1
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1
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Journal of financial econometrics
The econometrics journal
Journal of econometrics
229
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
Economics letters
80
Econometric reviews
57
Econometric theory
55
Journal of empirical finance
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Econometrics : open access journal
23
Economic modelling
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Finance research letters
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Journal of the American Statistical Association : JASA
22
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21
International journal of forecasting
20
Journal of banking & finance
20
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19
Journal of forecasting
17
Regional science & urban economics
15
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13
International journal of theoretical and applied finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Journal of risk and financial management : JRFM
12
Applied economics
11
International journal of economics and financial issues : IJEFI
11
Cambridge working papers in economics
9
Journal of mathematical finance
9
The European journal of finance
9
Empirical economics : a quarterly journal of the Institute for Advanced Studies
8
European journal of operational research : EJOR
8
Finance and stochastics
8
Journal of quantitative economics
8
Oxford bulletin of economics and statistics
8
Spatial economic analysis : the journal of the Regional Studies Association
8
CBN journal of applied statistics
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
International journal of economics and finance
7
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ECONIS (ZBW)
54
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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
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
3
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:
4
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
5
Estimation of large covariance matrices with mixed factor structures
Dai, Runyu
;
Uematsu, Yoshimasa
;
Matsuda, Yasumasa
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 62-83
Persistent link: https://www.econbiz.de/10014528099
Saved in:
6
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:
7
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:
8
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:
9
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
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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