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subject:"Volatility"
subject:"Stochastischer Prozess"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Finance research letters"
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Volatility
Stochastischer Prozess
Estimation theory
245
Schätztheorie
245
Estimation
65
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65
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65
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65
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Finance research letters
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
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27
CREATES research paper
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Econometric theory
24
Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
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19
International journal of forecasting
17
Quantitative finance
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International journal of theoretical and applied finance
15
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15
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SFB 649 discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
14
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14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Cowles Foundation discussion paper
13
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13
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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Handbook of financial time series
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International journal of economics and financial issues : IJEFI
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1
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
Saved in:
2
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
3
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
4
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
5
S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef
;
Chatrath, Arjun
;
Christie-David, Rohan
- In:
Finance research letters
51
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
Saved in:
6
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
7
A realized EGARCH-MIDAS model with higher moments
Wu, Xinyu
;
Xie, Haibin
- In:
Finance research letters
38
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012485028
Saved in:
8
Demand systems with heteroscedastic disturbances
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
4
,
pp. 1913-1921
Persistent link: https://www.econbiz.de/10012219723
Saved in:
9
Comparison of range-based volatility estimators against integrated volatility in European emerging markets
Arnerić, Josip
;
Matković, Mario
;
Sorić, Petar
- In:
Finance research letters
28
(
2019
),
pp. 118-124
Persistent link: https://www.econbiz.de/10012388033
Saved in:
10
Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David
;
Bluteau, Keven
;
Rüede, Maxime
- In:
Finance research letters
29
(
2019
),
pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
Saved in:
11
Forecasting realized variance using asymmetric HAR model with time-varying coefficients
Wu, Xinyu
;
Hou, Xinmeng
- In:
Finance research letters
30
(
2019
),
pp. 89-95
Persistent link: https://www.econbiz.de/10012420297
Saved in:
12
Strike asymptotics for Laplace implied volatilities
Madan, Dilip B.
;
Wang, King
- In:
Finance research letters
25
(
2018
),
pp. 183-189
Persistent link: https://www.econbiz.de/10012003516
Saved in:
13
Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu
;
Xie, Dejun
;
Jiang, Jingjing
;
Wu, Xiaoxia
; …
- In:
Finance research letters
21
(
2017
),
pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
Saved in:
14
Estimating volatility persistence under a Brexit-vote structural break
Adesina, Tola
- In:
Finance research letters
23
(
2017
),
pp. 65-68
Persistent link: https://www.econbiz.de/10011808359
Saved in:
15
Evaluating monthly volatility forecasts using proxies at different frequencies
Ñíguez, Trino-Manuel
- In:
Finance research letters
17
(
2016
),
pp. 41-47
Persistent link: https://www.econbiz.de/10011596208
Saved in:
16
Nonparametric estimation and testing of stochastic discount factor
Fang, Ying
;
Ren, Yun
;
Yuan, Yufei
- In:
Finance research letters
8
(
2011
)
4
,
pp. 196-205
Persistent link: https://www.econbiz.de/10009425853
Saved in:
17
Panel estimation of state-dependent adjustment when the target is unobserved
Kalckreuth, Ulf von
- In:
Empirical economics : a journal of the Institute for …
40
(
2011
)
1
,
pp. 205-235
Persistent link: https://www.econbiz.de/10008859090
Saved in:
18
Long memory in volatilities of German stock returns
Sibbertsen, Philipp
- In:
Empirical economics : a journal of the Institute for …
29
(
2004
)
3
,
pp. 477-488
Persistent link: https://www.econbiz.de/10002222104
Saved in:
19
On the choice of functional form in stochastic frontier modeling
Giannakas, Kōnstantinos
;
Tran, Kien C.
;
Tzouvelekas, …
- In:
Empirical economics : a journal of the Institute for …
28
(
2003
)
1
,
pp. 75-100
Persistent link: https://www.econbiz.de/10001724094
Saved in:
20
Estimation of technical inefficiency effects using panel data and doubly heteroscedastic stochastic production frontiers
Hadri, Kaddour
;
Guermat, Cherif
;
Whittaker, J.
- In:
Empirical economics : a journal of the Institute for …
28
(
2003
)
1
,
pp. 203-222
Persistent link: https://www.econbiz.de/10001724174
Saved in:
21
What color are commodity prices? : A fractal analysis
Cromwell, Jeff B.
;
Labys, Walter C.
;
Kouassi, Eugène
- In:
Empirical economics : a journal of the Institute for …
25
(
2000
)
4
,
pp. 563-580
Persistent link: https://www.econbiz.de/10001541671
Saved in:
22
An investigation into a non-linear stochastic trend model
Neusser, Klaus
- In:
Empirical economics : a journal of the Institute for …
24
(
1999
)
1
,
pp. 135-153
Persistent link: https://www.econbiz.de/10001353470
Saved in:
23
Short-term predictability of German stock returns
Krämer, Walter
- In:
Empirical economics : a journal of the Institute for …
23
(
1998
)
4
,
pp. 635-639
Persistent link: https://www.econbiz.de/10001254518
Saved in:
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