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isPartOf:"Journal of econometrics"
~source:"econis"
~subject:"Capital income"
~subject:"Stochastischer Prozess"
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Capital income
Stochastischer Prozess
Volatility
321
Volatilität
321
Theorie
125
Theory
125
Estimation theory
116
Schätztheorie
116
Stochastic process
104
Estimation
102
Schätzung
102
Time series analysis
100
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100
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70
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67
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67
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66
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66
Forecasting model
49
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49
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41
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41
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40
Nonparametric statistics
40
Option pricing theory
39
Optionspreistheorie
39
Statistical distribution
34
Statistische Verteilung
34
Stochastic volatility
34
Noise Trading
26
Noise trading
26
High-frequency data
25
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24
USA
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United States
24
Bayes-Statistik
23
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23
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18
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Todorov, Viktor
15
Bollerslev, Tim
9
Tauchen, George Eugene
8
Andersen, Torben
7
McAleer, Michael
6
Shephard, Neil G.
6
Asai, Manabu
5
Aït-Sahalia, Yacine
5
Mykland, Per A.
5
Xiu, Dacheng
5
Meddahi, Nour
4
Renault, Eric
4
Carriero, Andrea
3
Chang, Chia-Lin
3
Clark, Todd E.
3
Li, Jia
3
Maheu, John M.
3
Marcellino, Massimiliano
3
Renò, Roberto
3
Yu, Jun
3
Amengual, Dante
2
Bandi, Federico M.
2
Bekaert, Geert
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Calvet, Laurent E.
2
Chan, Joshua
2
Chib, Siddhartha
2
Creal, Drew
2
Dufour, Jean-Marie
2
Fisher, Adlai
2
Francq, Christian
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Jensen, Mark J.
2
Kim, Donggyu
2
Laeven, Roger J. A.
2
Li, Yingying
2
Linton, Oliver
2
Paolella, Marc S.
2
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Finance research letters
172
International journal of theoretical and applied finance
141
Journal of banking & finance
139
International review of financial analysis
130
Journal of empirical finance
122
The North American journal of economics and finance : a journal of financial economics studies
120
Energy economics
113
International review of economics & finance : IREF
113
Quantitative finance
99
Journal of financial economics
96
Applied economics
95
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90
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89
NBER working paper series
87
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
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81
Discussion paper / Tinbergen Institute
79
Journal of risk and financial management : JRFM
76
Working paper / National Bureau of Economic Research, Inc.
73
Applied economics letters
71
Working paper
71
Journal of international financial markets, institutions & money
69
NBER Working Paper
69
Applied mathematical finance
64
Pacific-Basin finance journal
64
Economics letters
63
Journal of economic dynamics & control
61
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
61
The European journal of finance
60
Research paper series / Swiss Finance Institute
59
International journal of forecasting
58
The journal of futures markets
57
Econometric reviews
55
Computational economics
52
Mathematical finance : an international journal of mathematics, statistics and financial theory
52
The journal of computational finance
50
Journal of financial econometrics : official journal of the Society for Financial Econometrics
49
Journal of forecasting
49
Finance and stochastics
47
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61
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
62
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
63
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
64
On high frequency estimation of the frictionless price : the use of observed liquidity variables
Chaker, Selma
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 127-143
Persistent link: https://www.econbiz.de/10011917437
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65
Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.
;
Schorfheide, Frank
;
Shin, Minchul
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 322-332
Persistent link: https://www.econbiz.de/10011920505
Saved in:
66
Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 384-399
Persistent link: https://www.econbiz.de/10011920525
Saved in:
67
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
68
A reexamination of stock return predictability
Choi, Yongok
;
Jacewitz, Stefan
;
Park, Joon Y.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 168-189
Persistent link: https://www.econbiz.de/10011617132
Saved in:
69
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Saved in:
70
Particle efficient importance sampling
Scharth, Marcel
;
Kohn, Robert
- In:
Journal of econometrics
190
(
2016
)
1
,
pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
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