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isPartOf:"Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society"
subject:"Estimation theory"
~isPartOf:"Journal of econometrics"
~subject:"Volatility"
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Estimation theory
Volatility
Theorie
1,790
Theory
1,790
Schätztheorie
415
Time series analysis
352
Zeitreihenanalyse
352
Estimation
176
Schätzung
176
Nichtparametrisches Verfahren
153
Nonparametric statistics
153
Forecasting model
136
Prognoseverfahren
136
Statistical test
132
Statistischer Test
132
Volatilität
130
Regression analysis
123
Regressionsanalyse
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Stochastic process
107
Stochastischer Prozess
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USA
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United States
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Statistical distribution
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83
Method of moments
81
Momentenmethode
81
Cointegration
77
Kointegration
77
Bootstrap approach
71
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71
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8
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Chib, Siddhartha
7
Aït-Sahalia, Yacine
6
Gouriéroux, Christian
6
Lee, Lung-fei
6
Li, Qi
6
Phillips, Peter C. B.
6
Bollerslev, Tim
5
Diebold, Francis X.
5
Granger, C. W. J.
5
Kohn, Robert
5
Andersen, Torben
4
Baltagi, Badi H.
4
Chen, Songnian
4
Hallin, Marc
4
King, Maxwell L.
4
Lütkepohl, Helmut
4
McAleer, Michael
4
Renault, Eric
4
Schmidt, Peter
4
Swanson, Norman R.
4
Tauchen, George Eugene
4
Todorov, Viktor
4
Abrevaya, Jason
3
Ali, Mukhtar M.
3
Andrews, Donald W. K.
3
Asai, Manabu
3
Barigozzi, Matteo
3
Boswijk, Herman Peter
3
Cavaliere, Giuseppe
3
Christensen, Bent Jesper
3
Donald, Stephen G.
3
Franses, Philip Hans
3
Ghysels, Eric
3
Godfrey, L. G.
3
Golan, Amos
3
Gonzalo, Jesús
3
Greenberg, Edward S.
3
Haldrup, Niels
3
Hansen, Gerd
3
Harvey, Andrew C.
3
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
Journal of econometrics
Economics letters
461
Econometric theory
297
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
263
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
254
Working paper / National Bureau of Economic Research, Inc.
241
Econometric reviews
178
NBER working paper series
174
Journal of applied econometrics
166
Série des documents de travail / Centre de Recherche en Économie et Statistique
164
NBER Working Paper
155
Discussion paper / Tinbergen Institute
150
Journal of quantitative economics : official journal of the Indian Econometric Society
142
The review of economics and statistics
131
Journal of banking & finance
121
Oxford bulletin of economics and statistics
111
Applied economics
106
Discussion paper / Centre for Economic Policy Research
105
Journal of economic dynamics & control
105
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
103
Working paper
100
Journal of forecasting
99
Journal of empirical finance
97
Discussion paper / Center for Economic Research, Tilburg University
95
International journal of forecasting
93
Economic modelling
90
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
88
CORE discussion paper : DP
87
Journal of international money and finance
86
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
81
Statistical papers
81
Journal of financial economics
80
Finance research letters
79
International journal of theoretical and applied finance
79
Mathematical finance : an international journal of mathematics, statistics and financial theory
77
The review of financial studies
75
International economic review
73
The review of economic studies
68
The journal of finance : the journal of the American Finance Association
65
SFB 649 discussion paper
64
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ECONIS (ZBW)
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
3
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
4
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
5
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
6
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
7
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
8
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
9
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
10
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
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