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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Journal of econometrics"
~subject:"Correlation"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
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Estimation theory
1,774
Schätztheorie
1,774
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384
Theory
384
Zeitreihenanalyse
342
Time series analysis
341
Nichtparametrisches Verfahren
338
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338
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287
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247
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243
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173
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106
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Linton, Oliver
15
Todorov, Viktor
10
Tauchen, George Eugene
7
Andersen, Torben
6
Fan, Jianqing
6
Francq, Christian
6
Li, Jia
6
Li, Yingying
6
Mykland, Per A.
6
Pesaran, M. Hashem
6
Kim, Donggyu
5
Koopman, Siem Jan
5
Li, Degui
5
Zakoïan, Jean-Michel
5
Chen, Jia
4
Hafner, Christian M.
4
Jochmans, Koen
4
Tang, Haihan
4
Xiu, Dacheng
4
Zhang, Lan
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Chudik, Alexander
3
Hoderlein, Stefan
3
Meddahi, Nour
3
Onatski, Alexei
3
Park, Joon Y.
3
Potiron, Yoann
3
Rodrigues, Paulo M. M.
3
Shephard, Neil G.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zheng, Xinghua
3
Bai, Jushan
2
Chen, Song Xi
2
Chen, Zhao
2
Clinet, Simon
2
Corsi, Fulvio
2
Engle, Robert F.
2
Escanciano, Juan Carlos
2
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
Economics letters
53
Discussion paper / Tinbergen Institute
36
Journal of empirical finance
33
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29
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28
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26
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21
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
15
The North American journal of economics and finance : a journal of financial economics studies
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15
International journal of theoretical and applied finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
14
International journal of economics and financial issues : IJEFI
13
Journal of risk and financial management : JRFM
13
Applied economics
12
Computational economics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Journal of mathematical finance
12
CEMMAP working papers / Centre for Microdata Methods and Practice
11
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ECONIS (ZBW)
221
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1
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
2
Estimating time-varying networks for high-dimensional time series
Chen, Jia
;
Li, Degui
;
Li, Yuning
;
Linton, Oliver
-
2022
-
Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
Saved in:
3
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
4
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
5
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
6
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
7
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
8
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
9
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
10
A dynamic conditional score model for the log correlation matrix
Hafner, Christian M.
;
Wang, Linqi
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014471519
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