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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Journal of financial econometrics"
~subject:"Risk premium"
~subject:"Schätzung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
Risk premium
Schätzung
Zeitreihenanalyse
Estimation theory
40
Schätztheorie
40
Estimation
15
Time series analysis
13
Volatility
11
Volatilität
11
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8
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8
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Kleibergen, Frank
2
Kong, Lingwei
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Zhan, Zhaoguo
2
Bauwens, Luc
1
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1
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1
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1
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Journal of financial econometrics
Journal of econometrics
306
Economics letters
111
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
111
Econometric reviews
90
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
66
International journal of forecasting
48
Econometric theory
45
Economic modelling
38
Journal of time series econometrics
38
The econometrics journal
35
Computational economics
33
Applied economics letters
32
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
30
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27
Finance research letters
26
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22
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21
Empirical economics : a quarterly journal of the Institute for Advanced Studies
21
European journal of operational research : EJOR
19
Insurance / Mathematics & economics
18
Journal of empirical finance
17
Journal of forecasting
17
Journal of quantitative economics
17
Energy economics
16
The North American journal of economics and finance : a journal of financial economics studies
15
Journal of risk
14
Journal of banking & finance
13
Journal of applied econometrics
12
Quantitative finance
12
Journal of economic dynamics & control
11
Working paper / National Bureau of Economic Research, Inc.
11
Essays in honor of Joon Y. Park : econometric theory
10
IEA CO2 Emissions from Fuel Combustion Statistics: Greenhouse Gas Emissions from Energy
10
Regional science & urban economics
10
Journal of econometric methods
9
Theoretical economics letters
9
International journal of economics and finance
8
Journal of mathematical finance
8
Robustness in econometrics
8
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ECONIS (ZBW)
23
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1
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
Saved in:
2
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:
3
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:
4
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
5
Estimating unobserved soft adjustment in credit rating models : before and after the Dodd-Frank act
Gu, Zhutong
;
Jiang, Yixiao
;
Yang, Shuyang
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1791-1819
Persistent link: https://www.econbiz.de/10014444750
Saved in:
6
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
7
Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
Saved in:
8
Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
Saved in:
9
Integrating structural and reduced-form methods in empirical finance
Whited, Toni Marion
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 597-615
Persistent link: https://www.econbiz.de/10014314764
Saved in:
10
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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