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subject:"Volatility"
isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Stochastischer Prozess"
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Volatility
Stochastischer Prozess
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
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Andreou, Alena
1
Balter, Janine
1
Bos, Charles S.
1
Bu, Ruijun
1
Caldeira, João F.
1
Carrasco, Marine
1
Fan, Jianqing
1
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Feng, Dingan
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1
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Jeisman, J. I.
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Jiang, George J.
1
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1
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1
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1
Lindsay, Kenneth A.
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Lubrano, Michel
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Rubia, Antonio
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Song, Peter X.-K.
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
29
Economic modelling
27
CREATES research paper
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Econometric theory
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Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
International journal of forecasting
17
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Finance research letters
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International journal of theoretical and applied finance
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Journal of banking & finance
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SFB 649 discussion paper
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14
European journal of operational research : EJOR
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
The econometrics journal
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Cowles Foundation discussion paper
13
Econometrics : open access journal
13
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12
The North American journal of economics and finance : a journal of financial economics studies
12
Discussion papers of interdisciplinary research project 373
11
Mathematics of operations research
11
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10
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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Finance and stochastics
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Journal of mathematical finance
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Insurance / Mathematics & economics
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NBER Working Paper
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Operations research
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
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1
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
2
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:
3
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
4
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
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
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
7
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:
8
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
9
Estimation of distortion risk measures
Tsukahara, Hideatsu
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
Saved in:
10
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:
11
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
12
Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations
Bu, Ruijun
;
Giet, Ludovic
;
Hadri, Kaddour
;
Lubrano, Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 198-236
Persistent link: https://www.econbiz.de/10009125140
Saved in:
13
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:
14
Bias-reduced estimation of long-memory stochastic volatility
Frederiksen, Per
;
Nielsen, Morten Ørregaard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 496-512
Persistent link: https://www.econbiz.de/10003778957
Saved in:
15
Aggregation of nonparametric estimators for volatility matrix
Fan, Jianqing
;
Fan, Yingying
;
Lv, Jinchi
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 321-357
Persistent link: https://www.econbiz.de/10003518410
Saved in:
16
Seeing the wood for the trees : a critical evaluation of methods to estimate the parameters of stochastic differential equations
Hurn, Stan
;
Jeisman, J. I.
;
Lindsay, Kenneth A.
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 390-455
Persistent link: https://www.econbiz.de/10003518500
Saved in:
17
The impact of sampling frequency and volatility estimators on change-point tests
Andreou, Alena
;
Ghysels, Eric
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 290-318
Persistent link: https://www.econbiz.de/10002214288
Saved in:
18
Stochastic conditional duration models with "leverage effect" for financial transaction data
Feng, Dingan
;
Jiang, George J.
;
Song, Peter X.-K.
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
3
,
pp. 390-421
Persistent link: https://www.econbiz.de/10002214366
Saved in:
19
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
Saved in:
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