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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Finance research letters"
~isPartOf:"Journal of financial econometrics"
~subject:"Portfolio selection"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
Portfolio selection
Time series analysis
Estimation theory
91
Schätztheorie
91
Estimation
31
Schätzung
31
Zeitreihenanalyse
24
Volatility
23
Volatilität
23
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21
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19
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Chiu, Wan-Yi
2
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1
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1
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Finance research letters
Journal of financial econometrics
Journal of econometrics
213
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
76
Econometric reviews
67
Economics letters
55
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
54
International journal of forecasting
41
Econometric theory
39
Journal of time series econometrics
37
Computational economics
31
The econometrics journal
24
Applied economics letters
18
Economic modelling
18
European journal of operational research : EJOR
16
Journal of empirical finance
16
Journal of risk
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Applied economics
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
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14
Insurance / Mathematics & economics
13
Journal of banking & finance
13
Journal of forecasting
13
The North American journal of economics and finance : a journal of financial economics studies
11
Essays in honor of Joon Y. Park : econometric theory
10
Journal of quantitative economics
10
Energy economics
8
Operations research
8
Discussion paper / Centre for Economic Policy Research
7
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6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
Journal of economic dynamics & control
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Scandinavian actuarial journal
6
Computational Management Science : CMS
5
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
International journal of economics and finance
5
International journal of production economics
5
Journal of applied econometrics
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of international financial markets, institutions & money
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Shrinkage and thresholding approaches for expected utility portfolios : an analysis in terms of predictive ability
Dutta, Sumanjay
;
Jain, Shashi
- In:
Finance research letters
64
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531731
Saved in:
2
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
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3
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
4
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
5
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian
;
Challet, Damien
- In:
Finance research letters
52
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
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6
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
7
LIBOR meets machine learning : A Lasso regression approach to detecting data irregularities
Pontines, Victor
;
Rummel, Ole
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-5
Persistent link: https://www.econbiz.de/10014473047
Saved in:
8
Estimating the US trend short-term interest rate
Beechey, Meredith Jane
;
Österholm, Pär
;
Poon, Aubrey
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014473294
Saved in:
9
An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
Saved in:
10
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
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