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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Journal of financial econometrics"
~subject:"CAPM"
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Search: subject_exact:"Estimation theory"
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Volatility
CAPM
Estimation theory
121
Schätztheorie
121
Estimation
34
Schätzung
34
Time series analysis
34
Zeitreihenanalyse
34
Volatilität
29
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19
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Article in journal
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38
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English
38
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Boudt, Kris
2
Sancetta, Alessio
2
Andreou, Alena
1
Balter, Janine
1
Barndorff-Nielsen, Ole E.
1
Bos, Charles S.
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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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
Janus, Paweł
1
Jiang, Binyan
1
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1
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial econometrics
Journal of econometrics
132
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Economics letters
27
Journal of empirical finance
26
Econometric reviews
23
Economic modelling
18
Finance research letters
18
Quantitative finance
18
Journal of banking & finance
17
Journal of financial economics
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of finance : the journal of the American Finance Association
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Econometric theory
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International journal of forecasting
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International journal of theoretical and applied finance
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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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12
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11
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10
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9
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9
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9
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8
International journal of economics and financial issues : IJEFI
8
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8
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8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
The journal of futures markets
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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European journal of operational research : EJOR
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International review of financial analysis
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Journal of financial and quantitative analysis : JFQA
6
Journal of risk
6
Quantitative economics : QE ; journal of the Econometric Society
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ECONIS (ZBW)
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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
Identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
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
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:
5
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:
6
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:
7
Arbitrage pricing with heterogeneous spatial effects and heteroscedastic disturbances
Hu, Jianhua
;
Ding, Hao
;
Liu, Xiaoqian
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1169-1195
Persistent link: https://www.econbiz.de/10014391448
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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