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type_genre:"Article in journal"
type_genre:"Survey"
~isPartOf:"Journal of financial econometrics"
~subject:"Estimation theory"
~type_genre:"Nachschlagewerk"
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Estimation theory
Estimation
51
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51
Volatility
31
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23
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23
Time series analysis
22
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Sancetta, Alessio
2
Buccheri, Giuseppe
1
Casas, Isabel
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Ferreira, Eva
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Golinski, Adam
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Sucarrat, Genaro
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Journal of financial econometrics
Journal of econometrics
216
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
127
Economics letters
108
Applied economics letters
55
Econometric reviews
54
Economic modelling
53
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
Applied economics
43
Journal of applied econometrics
38
Quantitative economics : QE ; journal of the Econometric Society
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
33
Journal of banking & finance
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The econometrics journal
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Journal of the American Statistical Association : JASA
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International journal of forecasting
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Journal of empirical finance
21
The review of economics and statistics
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19
International journal of economics and financial issues : IJEFI
19
Energy economics
18
Finance research letters
18
Insurance / Mathematics & economics
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Journal of forecasting
18
European journal of operational research : EJOR
17
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
16
Journal of risk and financial management : JRFM
16
Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk
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The empirical economics letters : a monthly international journal of economics
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The journal of real estate finance and economics
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Journal of international money and finance
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Quantitative finance
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The North American journal of economics and finance : a journal of financial economics studies
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American journal of agricultural economics
11
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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
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
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
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
9
Estimating unobserved soft adjustment in credit rating models : before and after the Dodd-Frank act
Gu, Zhutong
;
Jiang, Yixiao
;
Yang, Shuyang
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1791-1819
Persistent link: https://www.econbiz.de/10014444750
Saved in:
10
Integrating structural and reduced-form methods in empirical finance
Whited, Toni Marion
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 597-615
Persistent link: https://www.econbiz.de/10014314764
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