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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Computational economics"
~subject:"ARCH model"
~subject:"Statistical test"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH model
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Estimation theory
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Schätztheorie
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Time series analysis
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Zeitreihenanalyse
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Estimation
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Boubaker, Heni
2
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Francq, Christian
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Bu, Ruijun
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Computational economics
Journal of econometrics
298
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
102
Econometric theory
100
Econometric reviews
89
Economics letters
88
Discussion paper / Tinbergen Institute
60
The econometrics journal
57
CEMMAP working papers / Centre for Microdata Methods and Practice
49
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45
Cowles Foundation discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Journal of financial econometrics
28
Applied economics letters
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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
25
International journal of forecasting
25
Quantitative economics : QE ; journal of the Econometric Society
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Finance research letters
24
Journal of forecasting
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SFB 649 discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Discussion papers of interdisciplinary research project 373
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Journal of banking & finance
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Journal of time series econometrics
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Journal of the American Statistical Association : JASA
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Discussion paper / Center for Economic Research, Tilburg University
19
European journal of operational research : EJOR
19
Applied economics
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Journal of risk and financial management : JRFM
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Working paper / Department of Econometrics and Business Statistics, Monash University
18
NBER Working Paper
17
Quantitative finance
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1
Penalized averaging of quantile forecasts from GARCH models with many exogenous predictors
Gooijer, Jan G. de
- In:
Computational economics
62
(
2023
)
1
,
pp. 407-424
Persistent link: https://www.econbiz.de/10014327543
Saved in:
2
Portfolio selection based on emd denoising with correlation coefficient test criterion
Su, Kuangxi
;
Yao, Yinhong
;
Zheng, Chengli
;
Xie, Wenzhao
- In:
Computational economics
63
(
2024
)
1
,
pp. 391-421
Persistent link: https://www.econbiz.de/10014472254
Saved in:
3
Data-based automatic discretization of nonparametric distributions
Akira Toda, Alexis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1217-1235
Persistent link: https://www.econbiz.de/10012543278
Saved in:
4
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
5
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
6
Estimation of STAR-GARCH models with iteratively weighted least squares
Midiliç, Murat
- In:
Computational economics
55
(
2020
)
1
,
pp. 87-117
Persistent link: https://www.econbiz.de/10012222593
Saved in:
7
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
8
A perturbation method to optimize the parameters of autoregressive conditional heteroscedasticity model
Feng, Xuejie
;
Zhang, Chiping
- In:
Computational economics
55
(
2020
)
3
,
pp. 1021-1044
Persistent link: https://www.econbiz.de/10012223692
Saved in:
9
Testing for Constant Parameters in Nonlinear Models : a quick procedure with an empirical illustration
Fernández del Hoyo, Juan J.
;
Llorente, G.
;
Rivero, C.
- In:
Computational economics
54
(
2019
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10012134106
Saved in:
10
Hodges-Lehmann estimation of static panel models with spatially correlated disturbances
Strumann, Christoph
- In:
Computational economics
53
(
2019
)
1
,
pp. 141-168
Persistent link: https://www.econbiz.de/10012134595
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