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subject:"Estimation"
isPartOf:"Journal of monetary economics"
~type:"article"
~isPartOf:"Journal of financial econometrics"
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Estimation
Estimation theory
80
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80
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26
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21
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21
Time series analysis
18
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18
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26
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Sancetta, Alessio
2
Barnichon, Regis
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1
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1
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1
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Journal of monetary economics
Journal of financial econometrics
Journal of econometrics
215
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
129
Economics letters
110
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
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
33
Quantitative economics : QE ; journal of the Econometric Society
29
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The econometrics journal
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22
The review of economics and statistics
22
International journal of forecasting
20
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International journal of economics and financial issues : IJEFI
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Energy economics
18
European journal of operational research : EJOR
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Finance research letters
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16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of economic dynamics & control
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Journal of risk
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Journal of risk and financial management : JRFM
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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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American journal of agricultural economics
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Journal of international money and finance
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The North American journal of economics and finance : a journal of financial economics studies
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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
Saved in:
11
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:
12
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:
13
Estimating the speed of adjustment of leverage in the presence of interactive effects
Westerlund, Joakim
;
Karabiyik, Hande
;
Narayan, Paresh Kumar
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 942-960
Persistent link: https://www.econbiz.de/10013460044
Saved in:
14
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
15
Estimating the term structure with linear regressions : getting to the roots of the problem
Golinski, Adam
;
Spencer, Peter D.
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 960-984
Persistent link: https://www.econbiz.de/10012799057
Saved in:
16
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
17
Time-varying coefficient estimation in SURE models : application to portfolio management
Casas, Isabel
;
Ferreira, Eva
;
Orbe-Mandaluniz, Susan
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 707-745
Persistent link: https://www.econbiz.de/10012654990
Saved in:
18
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
19
Subsampling inference for the autocorrelations of GARCH processes
McElroy, Tucker
;
Jach, Agnieszka
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 495-515
Persistent link: https://www.econbiz.de/10012054818
Saved in:
20
Functional approximation of impulse responses
Barnichon, Regis
;
Matthes, Christian
- In:
Journal of monetary economics
99
(
2018
),
pp. 41-55
Persistent link: https://www.econbiz.de/10012109024
Saved in:
21
Estimation of a forward-looking monetary policy rule : a time-varying parameter model using ex post data
Kim, Chang-jin
;
Nelson, Charles R.
- In:
Journal of monetary economics
53
(
2006
)
8
,
pp. 1949-1966
Persistent link: https://www.econbiz.de/10003394388
Saved in:
22
Peso problem explanations for term structure anomalies
Bekaert, Geert
;
Hodrick, Robert J.
;
Marshall, David Aaron
- In:
Journal of monetary economics
48
(
2001
)
2
,
pp. 241-270
Persistent link: https://www.econbiz.de/10001610860
Saved in:
23
(Fractional) beta convergence
Michelacci, Claudio
;
Zaffaroni, Paolo
- In:
Journal of monetary economics
45
(
2000
)
1
,
pp. 129-153
Persistent link: https://www.econbiz.de/10001445796
Saved in:
24
Common and country-specific fluctuations in productivity, investment, and the current account
Gregory, Allan W.
;
Head, Allen Charles
- In:
Journal of monetary economics
44
(
1999
)
3
,
pp. 423-451
Persistent link: https://www.econbiz.de/10001434982
Saved in:
25
Bubbles, fundamentals, and investment : a multiple equation testing strategy
Chirinko, Robert S.
- In:
Journal of monetary economics
38
(
1996
)
1
,
pp. 47-76
Persistent link: https://www.econbiz.de/10001207449
Saved in:
26
Production function regressions, returns to scale, and externalities
Burnside, Craig
- In:
Journal of monetary economics
37
(
1996
)
2
,
pp. 177-201
Persistent link: https://www.econbiz.de/10001200591
Saved in:
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