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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Analysis of variance
32
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Discussion paper series
International journal of theoretical and applied finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
The review of financial studies
Journal of econometrics
36
Working paper
15
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
14
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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International journal of forecasting
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Global COE Hi-Stat discussion paper series
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International journal of business excellence
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Risk price variation : the missing half of empirical asset pricing
Patton, Andrew J.
;
Weller, Brian M.
- In:
The review of financial studies
35
(
2022
)
11
,
pp. 5127-5184
Persistent link: https://www.econbiz.de/10013400158
Saved in:
2
Shrinkage estimation of mean-variance portfolio
Liu, Yan
;
Chan, Ngai Hang
;
Ng, Chi Tim
;
Wong, Samuel Po …
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011453866
Saved in:
3
Forecasting covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
Saved in:
4
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
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5
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
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6
Modeling covariance risk in Merton's ICAPM
Rossi, Alberto
;
Timmermann, Allan
- In:
The review of financial studies
28
(
2015
)
5
,
pp. 1428-1461
Persistent link: https://www.econbiz.de/10011338198
Saved in:
7
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
8
The skew risk premium in the equity index market
Kozhan, Roman
;
Neuberger, Anthony
;
Schneider, Paul
- In:
The review of financial studies
26
(
2013
)
9
,
pp. 2174-2203
Persistent link: https://www.econbiz.de/10010207278
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9
Capturing option anomalies with a variance-dependent pricing Kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
- In:
The review of financial studies
26
(
2013
)
8
,
pp. 1962-2006
Persistent link: https://www.econbiz.de/10010207293
Saved in:
10
A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
Aistleitner, Christoph
;
Hofer, Markus
;
Tichy, Robert F.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10009685903
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