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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Applied economics letters"
~subject:"Correlation"
~subject:"Forecasting model"
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Volatility
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Estimation theory
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Audrino, Francesco
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Applied economics letters
Journal of econometrics
221
International journal of forecasting
114
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
104
Journal of forecasting
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Economics letters
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Discussion paper / Tinbergen Institute
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Insurance / Mathematics & economics
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Risks : open access journal
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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
Saved in:
22
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:
23
Halbert White jr. Memorial JFEC Lecture : pitfalls and possibilities in predictive regression
Phillips, Peter C. B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 521-555
Persistent link: https://www.econbiz.de/10011339279
Saved in:
24
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
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25
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
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26
Approximate aggregation revisited : higher moments do matter
Giusto, Andrea
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1138-1143
Persistent link: https://www.econbiz.de/10011312165
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27
Estimation of distortion risk measures
Tsukahara, Hideatsu
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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28
On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman
;
Velasco, Carlos
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
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29
Jackknife for bias reduction in predictive regressions
Zhu, Min
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
1
,
pp. 193-220
Persistent link: https://www.econbiz.de/10009708916
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30
Efficient estimation of covariance matrices using posterior mode multiple shrinkage
Giordani, Paolo
;
Mun, Xiuyan
;
Kohn, Robert
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
1
,
pp. 154-192
Persistent link: https://www.econbiz.de/10009708919
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