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Probability theory
Volatility
Estimation theory
970
Schätztheorie
970
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383
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383
Time series analysis
135
Zeitreihenanalyse
135
Estimation
110
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108
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Economics letters
Journal of econometrics
140
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Discussion paper / Tinbergen Institute
45
Econometric reviews
32
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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International journal of forecasting
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20
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The North American journal of economics and finance : a journal of financial economics studies
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1
Consistent estimation of drift parameter in diffusion model with misspecified volatility function
Jeong, Minsoo
- In:
Economics letters
211
(
2022
),
pp. 1-4
Persistent link: https://www.econbiz.de/10013172040
Saved in:
2
A new estimator of a jump discontinuity in regression
Martins-Filho, Carlos
;
Xie, Sihong
;
Yao, Feng
- In:
Economics letters
218
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013466389
Saved in:
3
Computationally efficient inference in large Bayesian mixed frequency VARs
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
Economics letters
191
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012508486
Saved in:
4
Maximum likelihood estimation of a TVP-VAR
Moura, Guilherme Valle
;
Noriller, Mateus R.
- In:
Economics letters
174
(
2019
),
pp. 78-83
Persistent link: https://www.econbiz.de/10012121029
Saved in:
5
On estimating market microstructure noise variance
Dong, Yingjie
;
Tse, Yiu Kuen
- In:
Economics letters
150
(
2017
),
pp. 59-62
Persistent link: https://www.econbiz.de/10011762850
Saved in:
6
Volatility estimation for Bitcoin : a comparison of GARCH models
Katsiampa, Paraskevi
- In:
Economics letters
158
(
2017
),
pp. 3-6
Persistent link: https://www.econbiz.de/10011849728
Saved in:
7
Linear time-varying regression with Copula-DCC-GARCH models for volatility
Kim, Jong-Min
;
Jung, Hojin
- In:
Economics letters
145
(
2016
),
pp. 262-265
Persistent link: https://www.econbiz.de/10011618857
Saved in:
8
Composite marginal likelihood estimation of spatial autoregressive probit models feasible in very large samples
Mozharovskyi, Pavlo
;
Vogler, Jan
- In:
Economics letters
148
(
2016
),
pp. 87-90
Persistent link: https://www.econbiz.de/10011619891
Saved in:
9
Missing mean does no harm to volatility!
Anatolyev, Stanislav
;
Tarasyuk, Irina
- In:
Economics letters
134
(
2015
),
pp. 62-64
Persistent link: https://www.econbiz.de/10011432253
Saved in:
10
An ARCH model without intercept
Hafner, Christian M.
;
Preminger, Arie
- In:
Economics letters
129
(
2015
),
pp. 13-17
Persistent link: https://www.econbiz.de/10011421858
Saved in:
11
A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong-wan
;
Hwang, Eunju
- In:
Economics letters
129
(
2015
),
pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
Saved in:
12
Estimating the long rate and its volatility
Annaert, Jan
;
Claes, Anouk G. P.
;
De Ceuster, Marc J.
; …
- In:
Economics letters
129
(
2015
),
pp. 100-102
Persistent link: https://www.econbiz.de/10011422029
Saved in:
13
The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals
Kabaila, Paul
;
Mainzer, Rheanna
;
Farchione, Davide
- In:
Economics letters
131
(
2015
),
pp. 12-15
Persistent link: https://www.econbiz.de/10011422500
Saved in:
14
A bootstrap test for jumps in financial economics
Hwang, Eunju
;
Shin, Dong-wan
- In:
Economics letters
125
(
2014
)
1
,
pp. 74-78
Persistent link: https://www.econbiz.de/10010504752
Saved in:
15
Periodically collapsing Evans bubbles and stock-price volatility
Rotermann, Benedikt
;
Wilfling, Bernd
- In:
Economics letters
123
(
2014
)
3
,
pp. 383-386
Persistent link: https://www.econbiz.de/10010401222
Saved in:
16
Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
Kim, Dukpa
- In:
Economics letters
123
(
2014
)
3
,
pp. 282-286
Persistent link: https://www.econbiz.de/10010401375
Saved in:
17
A CUSUM test for a long memory heterogeneous autoregressive model
Hwang, Eunju
;
Shin, Dong-wan
- In:
Economics letters
121
(
2013
)
3
,
pp. 379-383
Persistent link: https://www.econbiz.de/10010392170
Saved in:
18
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Atak, Alev
;
Kapetanios, George
- In:
Economics letters
120
(
2013
)
2
,
pp. 224-228
Persistent link: https://www.econbiz.de/10010128339
Saved in:
19
Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
Xu, Zheng
- In:
Economics letters
120
(
2013
)
3
,
pp. 369-373
Persistent link: https://www.econbiz.de/10010128844
Saved in:
20
Density prediction of stock index returns using GARCH models : frequentist or Bayesian estimation?
Hoogerheide, Lennart F.
;
Ardia, David
;
Corré, Nienke
- In:
Economics letters
116
(
2012
)
3
,
pp. 322-325
Persistent link: https://www.econbiz.de/10009674398
Saved in:
21
Spurious regressions driven by excessive volatility
Kim, Chang Sik
;
Lee, Sungro
- In:
Economics letters
113
(
2011
)
3
,
pp. 292-297
Persistent link: https://www.econbiz.de/10009503041
Saved in:
22
Nonparametric estimation of stochastic volatility models
Renò, Roberto
- In:
Economics letters
90
(
2006
)
3
,
pp. 390-395
Persistent link: https://www.econbiz.de/10003295287
Saved in:
23
Finite sample properties of the ARCH class of models with stochastic volatility
Deb, Partha
- In:
Economics letters
55
(
1997
)
1
,
pp. 27-34
Persistent link: https://www.econbiz.de/10001225291
Saved in:
24
Modeling the changing asymmetry of traditional variances
Fornari, Fabio
- In:
Economics letters
50
(
1996
)
2
,
pp. 197-203
Persistent link: https://www.econbiz.de/10001194690
Saved in:
25
Testing stationary for stock market data
Dehay, Dominique
- In:
Economics letters
50
(
1996
)
2
,
pp. 205-212
Persistent link: https://www.econbiz.de/10001197579
Saved in:
26
Distinguishing between stochastic and deterministic behavior in foreign exchange rate returns : further evidence
Cecen, A. A.
- In:
Economics letters
51
(
1996
)
3
,
pp. 323-329
Persistent link: https://www.econbiz.de/10001200985
Saved in:
27
Estimating the variability of the Stein estimator by bootstrap
Yi, Gang
- In:
Economics letters
37
(
1991
)
3
,
pp. 293-298
Persistent link: https://www.econbiz.de/10001114214
Saved in:
28
A grouped data semiparametric competing risks model with nonparametric unobserved heterogeneity and mover-stayer structure
Moon, Choon-geol
- In:
Economics letters
37
(
1991
)
3
,
pp. 279-285
Persistent link: https://www.econbiz.de/10001114216
Saved in:
29
Parametric models for partially adaptive estimation with skewed and leptokurtic residuals
McDonald, James B.
- In:
Economics letters
37
(
1991
)
3
,
pp. 273-278
Persistent link: https://www.econbiz.de/10001114218
Saved in:
30
A standardized test for the error components model with the two-way layout
Honda, Yuzo
- In:
Economics letters
37
(
1991
)
2
,
pp. 125-128
Persistent link: https://www.econbiz.de/10001114367
Saved in:
31
Testing exclusion restrictions for a misspecified Tobit model
Taylor, Larry W.
- In:
Economics letters
37
(
1991
)
4
,
pp. 411-416
Persistent link: https://www.econbiz.de/10001120371
Saved in:
32
Testing for skewness of regression disturbances
Godfrey, L. G.
- In:
Economics letters
37
(
1991
)
1
,
pp. 31-34
Persistent link: https://www.econbiz.de/10001110916
Saved in:
33
An improved rate for non-negative definite consistent covariance matrix estimation with heterogeneous dependent data
Quah, Danny
- In:
Economics letters
33
(
1990
)
2
,
pp. 133-140
Persistent link: https://www.econbiz.de/10001088187
Saved in:
34
An application of extended rational approximants to White's information matrix test
Taylor, Larry W.
- In:
Economics letters
1
(
1989
),
pp. 49-53
Persistent link: https://www.econbiz.de/10001068814
Saved in:
35
Semiparametric estimation and efficiency bounds of binary choice models when the models contain one continuous variable
Nawata, Kazumitsu
- In:
Economics letters
31
(
1989
)
1
,
pp. 21-26
Persistent link: https://www.econbiz.de/10001078208
Saved in:
36
Some results on the finite sample significance levels of instrumental variable tests for non-nested models
Burke, Simon P.
- In:
Economics letters
31
(
1989
)
4
,
pp. 343-347
Persistent link: https://www.econbiz.de/10001080241
Saved in:
37
Asymptotic distribution of Durbin-Watson statistic
Srivastava, M. S.
- In:
Economics letters
2
(
1987
),
pp. 157-160
Persistent link: https://www.econbiz.de/10001032589
Saved in:
38
Finite state Markov chain approximations to univariate and vector autoregressions
Tauchen, George Eugene
- In:
Economics letters
20
(
1986
)
2
,
pp. 177-181
Persistent link: https://www.econbiz.de/10001008731
Saved in:
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