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subject:"Sampling"
~isPartOf:"Journal of financial econometrics"
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Search: subject_exact:"Estimation theory"
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Sampling
Stochastic process
Estimation theory
48
Schätztheorie
48
Estimation
19
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19
Time series analysis
14
Zeitreihenanalyse
14
Volatility
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Kleibergen, Frank
4
Kong, Lingwei
4
Zhan, Zhaoguo
4
Khalaf, Lynda
2
Peñaranda, Francisco
2
Zaffaroni, Paolo
2
Buccheri, Giuseppe
1
Chen, Feng
1
De Nard, Gianluca
1
Dunsmuir, William T.M.
1
Grassi, Stefano
1
Hung, Mao-Wei
1
Hurn, Stan
1
Ko, Yi-Chen
1
Lindsay, Kenneth A.
1
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1
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1
Vocalelli, Giorgio
1
Wang, Jr-Yan
1
Wee, Damien C.H.
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Journal of financial econometrics
Journal of econometrics
103
Economics letters
39
Discussion paper / Tinbergen Institute
34
Statistics in transition : an international journal of the Polish Statistical Association
33
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
31
Econometric reviews
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Journal of the American Statistical Association : JASA
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CREATES research paper
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Econometrics : open access journal
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European journal of operational research : EJOR
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NBER Working Paper
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Cowles Foundation discussion paper
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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
15
Mathematics of operations research
14
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
Discussion paper / Central Bureau voor de Statistiek
13
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
13
Discussion papers of interdisciplinary research project 373
13
Journal of empirical finance
13
Operations research
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The econometrics journal
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Discussion paper / Center for Economic Research, Tilburg University
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Discussion paper series / IZA
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International journal of production research
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Insurance / Mathematics & economics
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Journal of applied econometrics
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Quantitative economics : QE ; journal of the Econometric Society
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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SFB 649 discussion paper
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1
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
2
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
3
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:
4
Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
Saved in:
5
Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
Saved in:
6
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:
7
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:
8
A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan
;
Lindsay, Kenneth A.
;
Xu, Lina
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
Saved in:
9
Oops! I shrunk the sample covariance matrix again : blockbuster meets shrinkage
De Nard, Gianluca
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 569-611
Persistent link: https://www.econbiz.de/10013349144
Saved in:
10
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:
11
Likelihood inference for a COGARCH process using sequential Monte Carlo
Wee, Damien C.H.
;
Chen, Feng
;
Dunsmuir, William T.M.
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 229-253
Persistent link: https://www.econbiz.de/10012054439
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