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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of forecasting"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~type_genre:"Übersichtsarbeit"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
225
Schätztheorie
225
Time series analysis
103
Zeitreihenanalyse
103
Forecasting model
79
Prognoseverfahren
79
Estimation
51
Schätzung
51
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48
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48
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English
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Song, Yuping
2
Taylor, James W.
2
Abbara, Omar
1
Abraham, Bovas
1
Anatolyev, Stanislav
1
Balakrishna, N.
1
Baruník, Jozef
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Blazsek, Szabolcs
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Bu, Ruijun
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1
Daníelsson, Jón
1
Enders, Walter
1
Escribano, Álvaro
1
Fei, Tianlun
1
Fischer, Henning
1
Flachaire, Emmanuel
1
Gel, Yulia R.
1
Goutte, Stéphane
1
Hadri, Kaddour
1
He, Mengxi
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Hou, Weijie
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Hu, Yu-pin
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Jensen, Mark J.
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Jeon, Jooyoung
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Kalyvitēs, Sarantēs
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Ke, Tsung-han
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Kok Haur Ng
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Kraicová, Lucie
1
Lee, Kyungsub
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Li, Jing
1
Li, Zhenwei
1
Licht, Adrian
1
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1
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Journal of forecasting
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
15
Econometric theory
14
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Finance research letters
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The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Journal of risk and financial management : JRFM
10
Econometrics : open access journal
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
5
The European journal of finance
5
The journal of risk model validation
5
Applied economics letters
4
Applied financial economics
4
Cogent economics & finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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ECONIS (ZBW)
27
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
3
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
4
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
5
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
6
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
7
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
8
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
9
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
10
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
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