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~isPartOf:"Journal of econometrics"
~subject:"High-frequency data"
~subject:"Prognoseverfahren"
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High-frequency data
Prognoseverfahren
Capital income
137
Kapitaleinkommen
137
Volatility
71
Volatilität
71
Estimation
55
Schätzung
55
Theorie
55
Theory
55
Estimation theory
46
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46
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45
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42
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42
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38
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24
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16
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13
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13
Statistical distribution
13
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United States
11
Nichtparametrisches Verfahren
10
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Todorov, Viktor
6
Taylor, Robert
4
Xiu, Dacheng
4
Andersen, Torben
3
Bollerslev, Tim
3
Demetrescu, Matei
3
Rodrigues, Paulo M. M.
3
Tauchen, George Eugene
3
Aït-Sahalia, Yacine
2
Georgiev, Iliyan
2
Li, Jia
2
Liao, Yuan
2
Patton, Andrew J.
2
Anderson, Heather M.
1
Andreou, Elena
1
Asai, Manabu
1
Bakalli, Gaetan
1
Bandi, F. M.
1
Bandi, Federico M.
1
Bauer, Gregory H.
1
Bekaert, Geert
1
Bibinger, Markus
1
Cai, Zongwu
1
Calvet, Laurent E.
1
Chen, Rong
1
Chen, Rui
1
Cheng, Mingmian
1
Choi, Yongok
1
Dai, Chaoxing
1
Dhaene, Geert
1
Ding, Yashuang
1
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1
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Fisher, Adlai
1
Fulop, Andras
1
Grynkiv, Iaryna
1
Gu, Shihao
1
Guerrier, Stéphane
1
Gungor, Sermin
1
Harvey, David I.
1
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Journal of econometrics
Finance research letters
127
Journal of empirical finance
101
Journal of banking & finance
98
Journal of financial economics
94
International review of financial analysis
90
International journal of forecasting
87
Journal of forecasting
81
International review of economics & finance : IREF
72
Pacific-Basin finance journal
63
The North American journal of economics and finance : a journal of financial economics studies
56
NBER working paper series
47
Management science : journal of the Institute for Operations Research and the Management Sciences
43
Economic modelling
42
Applied economics
40
The European journal of finance
40
NBER Working Paper
36
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
35
Energy economics
33
Journal of financial markets
33
Economics letters
32
Journal of international financial markets, institutions & money
32
The review of financial studies
32
Quantitative finance
31
Working paper / National Bureau of Economic Research, Inc.
31
Applied economics letters
30
Review of quantitative finance and accounting
29
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Working paper
28
Research in international business and finance
27
Applied financial economics
25
The journal of finance : the journal of the American Finance Association
25
Research paper series / Swiss Finance Institute
24
Journal of financial and quantitative analysis : JFQA
23
Journal of risk and financial management : JRFM
23
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
23
CREATES research paper
22
Discussion paper / Tinbergen Institute
20
International journal of finance & economics : IJFE
20
Review of accounting studies
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ECONIS (ZBW)
57
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1
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
Saved in:
2
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
3
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
4
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
5
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
6
What is the chance that the equity premium varies over time? : evidence from regressions on the dividend-price ratio
Wachter, Jessica
;
Warusawitharana, Missaka
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 74-93
Persistent link: https://www.econbiz.de/10011349544
Saved in:
7
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
Saved in:
8
Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing
;
Lu, Kun
;
Xiu, Dacheng
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
Saved in:
9
The scale of predictability
Bandi, F. M.
;
Perron, Benoit
;
Tamoni, A.
;
Tebaldi, C.
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 120-140
Persistent link: https://www.econbiz.de/10012139815
Saved in:
10
A unified test for predictability of asset returns regardless of properties of predicting variables
Liu, Xiaohui
;
Yang, Bingduo
;
Cai, Zongwu
;
Peng, Liang
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 141-159
Persistent link: https://www.econbiz.de/10012139823
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