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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"
~subject:"Share price"
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Volatility
Share price
Estimation theory
136
Schätztheorie
136
Time series analysis
33
Zeitreihenanalyse
33
Estimation
31
Schätzung
31
Nichtparametrisches Verfahren
25
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25
Correlation
22
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Volatilität
21
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Linton, Oliver
6
Escanciano, Juan Carlos
2
Hoderlein, Stefan
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Kapetanios, George
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Lewbel, Arthur
2
Pesaran, M. Hashem
2
Srisuma, Sorawoot
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Ahlgren, Niklas
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Andreou, Alena
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Antell, Jan
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Bos, Charles S.
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Caldeira, João F.
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Carrasco, Marine
1
Chen, Jia
1
Cheng, Tingting
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Gao, Jiti
1
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Hassler, Uwe
1
Herwartz, Helmut
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Härdle, Wolfgang
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Li, Degui
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Li, Yu-Ning
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Li, Z. Merrick
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Journal of econometrics
130
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
49
Discussion paper / Tinbergen Institute
29
Economics letters
29
Journal of empirical finance
27
Econometric reviews
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Economic modelling
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Journal of banking & finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Finance research letters
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International journal of forecasting
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International journal of theoretical and applied finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International review of financial analysis
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Journal of financial economics
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9
Working paper / National Bureau of Economic Research, Inc.
9
Applied economics
8
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Finance and stochastics
8
Journal of financial and quantitative analysis : JFQA
8
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Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
12
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
13
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
14
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
15
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
16
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
17
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
Saved in:
18
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:
19
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
Saved in:
20
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
Saved in:
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