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type_genre:"Article in journal"
~isPartOf:"Finance research letters"
~subject:"ARCH model"
~subject:"Portfolio-Management"
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Search: subject_exact:"Estimation theory"
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ARCH model
Portfolio-Management
Estimation theory
62
Schätztheorie
62
Estimation
18
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18
Portfolio selection
15
Capital income
14
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Ardia, David
2
Auer, Benjamin R.
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Chiu, Wan-Yi
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Schuhmacher, Frank
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1
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Finance research letters
Journal of econometrics
66
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
36
Econometric theory
35
Economics letters
23
Journal of banking & finance
23
Journal of empirical finance
23
Journal of risk
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
19
European journal of operational research : EJOR
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Econometric reviews
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International journal of forecasting
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The econometrics journal
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International journal of economics and financial issues : IJEFI
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Journal of time series econometrics
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics letters
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Econometrics : open access journal
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International journal of theoretical and applied finance
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International Journal of Energy Economics and Policy : IJEEP
6
International review of financial analysis
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Journal of economic dynamics & control
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The journal of risk model validation
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Annals of financial economics
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Computational Management Science : CMS
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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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1
Shrinkage and thresholding approaches for expected utility portfolios : an analysis in terms of predictive ability
Dutta, Sumanjay
;
Jain, Shashi
- In:
Finance research letters
64
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531731
Saved in:
2
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian
;
Challet, Damien
- In:
Finance research letters
52
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
Saved in:
3
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
4
An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
Saved in:
5
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
6
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
7
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
8
S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef
;
Chatrath, Arjun
;
Christie-David, Rohan
- In:
Finance research letters
51
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
Saved in:
9
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
10
Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model
Orlando, Giuseppe
;
Bufalo, Michele
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10013455602
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