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subject:"Time series analysis"
subject:"Share price"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Time series analysis
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Estimation theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
325
Econometric theory
161
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of time series econometrics
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
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Journal of the American Statistical Association : JASA
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Oxford bulletin of economics and statistics
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1
Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
Saved in:
2
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
3
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
4
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
5
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
6
Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
Saved in:
7
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
8
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
Saved in:
9
On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman
;
Velasco, Carlos
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
Saved in:
10
One-step semiparametric estimation of the GARCH model
Di, Jianing
;
Gangopadhyay, Ashis
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
Saved in:
11
Testing for long memory in potentially nonstationary perturbed fractional processes
Frederiksen, Per
;
Nielsen, Frank S.
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 329-381
Persistent link: https://www.econbiz.de/10010351544
Saved in:
12
Asymptotic theory of range-based multipower variation
Christensen, Kim
;
Podolskij, Mark
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 417-456
Persistent link: https://www.econbiz.de/10009570933
Saved in:
13
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
14
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
15
Backtesting value-at-risk : a GMM duration-based test
Candelon, Bertrand
;
Colletaz, Gilbert
;
Hurlin, Christophe
; …
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 314-343
Persistent link: https://www.econbiz.de/10009125123
Saved in:
16
GARCH parameter estimation using high-frequency data
Visser, Marcel P.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 162-197
Persistent link: https://www.econbiz.de/10009125144
Saved in:
17
Estimation and inference in ARCH models in the presence of outliers
Gregory, Allan W.
;
Reeves, Jonathan J.
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
4
,
pp. 547-569
Persistent link: https://www.econbiz.de/10008665738
Saved in:
18
Generalized moment tests for autoregressive conditional duration models
Chen, Yi-ting
;
Hsieh, Chih-sheng
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
3
,
pp. 345-391
Persistent link: https://www.econbiz.de/10003997409
Saved in:
19
The making of "estimation of common long-memory components in cointegrated systems"
Gonzalo, Jesús
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
2
,
pp. 174-176
Persistent link: https://www.econbiz.de/10008652239
Saved in:
20
Reminiscing on the 1984 NSF-NBER time series meeting at UC Davis
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
2
,
pp. 158-159
Persistent link: https://www.econbiz.de/10008652248
Saved in:
21
Special issue on the analysis of high-frequency financial data and market microstructure
2005
Persistent link: https://www.econbiz.de/10003151162
Saved in:
22
Dynamics of trade-by-trade price movements: decomposition and models
Rydberg, Tina Hvild
;
Shephard, Neil G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 2-25
Persistent link: https://www.econbiz.de/10002220788
Saved in:
23
Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
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