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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 empirical finance"
~subject:"Risk measure"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
Risk measure
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Estimation theory
212
Schätztheorie
212
Time series analysis
57
Zeitreihenanalyse
57
Estimation
53
Schätzung
53
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41
Theorie
34
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34
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32
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Linton, Oliver
7
Escanciano, Juan Carlos
2
Francq, Christian
2
Hoderlein, Stefan
2
Horváth, Lajos
2
Jondeau, Eric
2
Kapetanios, George
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Lewbel, Arthur
2
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2
Srisuma, Sorawoot
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1
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1
Allen, David
1
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1
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1
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1
Asai, Manabu
1
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1
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Creel, Michael D.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Journal of empirical finance
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Discussion paper / Tinbergen Institute
33
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31
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28
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10
The journal of risk model validation
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Working paper / Department of Econometrics and Business Statistics, Monash University
10
Working papers
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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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
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
3
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:
4
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
5
Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo
;
Kang, Kyu Ho
- In:
Journal of empirical finance
72
(
2023
),
pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
Saved in:
6
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha
;
Linton, Oliver
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
Saved in:
7
Nonparametric Euler equation identification and estimation
Escanciano, Juan Carlos
;
Hoderlein, Stefan
;
Lewbel, Arthur
-
2020
Persistent link: https://www.econbiz.de/10013205434
Saved in:
8
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
9
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
Saved in:
10
A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David
;
Lizieri, Colin
;
Satchell, Stephen
- In:
Journal of empirical finance
58
(
2020
),
pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
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