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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The econometrics journal"
~subject:"Autocorrelation"
~subject:"Momentenmethode"
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Search: subject_exact:"Estimation theory"
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Volatility
Autocorrelation
Momentenmethode
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
45
Panel
40
Panel study
40
Theorie
31
Theory
31
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24
Statistical inference
24
Volatilität
24
Statistical distribution
23
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23
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22
ARCH-Modell
22
Forecasting model
20
Prognoseverfahren
20
Bootstrap approach
18
Bootstrap-Verfahren
18
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17
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17
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16
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16
Scientific modelling
16
Instrumental variables
15
Method of moments
15
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15
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15
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54
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Article in journal
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54
Conference paper
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54
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Bravo, Francesco
2
Lee, Lung-fei
2
Sancetta, Alessio
2
Sun, Yixiao
2
Taylor, Stephen
2
Abadir, Karim Maher
1
Baillie, Richard
1
Baltagi, Badi H.
1
Brasch, Thomas von
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
Dahl, Christian M.
1
Dufour, Jean-Marie
1
Elliott, Robert J.
1
Everaert, Gerdie
1
Fan, Yanqin
1
Gagliardini, Patrick
1
Gallo, Giampiero M.
1
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1
Grassi, Stefano
1
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Guo, Gangzheng
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
Inoue, Atsushi
1
Jach, Agnieszka
1
Jiang, Binyan
1
Kalliovirta, Leena
1
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1
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Journal of financial econometrics
The econometrics journal
Journal of econometrics
275
Economics letters
87
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
Econometric reviews
80
Econometric theory
66
Econometrics : open access journal
28
Journal of empirical finance
28
Economic modelling
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Applied economics letters
22
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Regional science & urban economics
19
International journal of forecasting
17
Quantitative finance
17
Finance research letters
15
Journal of banking & finance
15
Journal of forecasting
14
Empirical economics : a quarterly journal of the Institute for Advanced Studies
13
International journal of theoretical and applied finance
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Spatial economic analysis : the journal of the Regional Studies Association
12
Applied economics
11
International journal of economics and financial issues : IJEFI
11
Computational economics
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
European journal of operational research : EJOR
9
Quantitative economics : QE ; journal of the Econometric Society
9
Finance and stochastics
8
Journal of quantitative economics
8
Journal of the American Statistical Association : JASA
8
Oxford bulletin of economics and statistics
8
International journal of economics and finance
7
Journal of economic dynamics & control
7
Journal of mathematical finance
7
Journal of time series econometrics
7
Applied financial economics
6
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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
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:
3
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:
4
Identifying the elasticity of substitution with biased technical change : a structural panel GMM estimator
Brasch, Thomas von
;
Raknerud, Arvid
;
Vigtel, Trond C.
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 84-106
Persistent link: https://www.econbiz.de/10014528094
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
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
Saved in:
9
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
10
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
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