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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Econometric theory"
~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
Statistical test
Stochastischer Prozess
Estimation theory
796
Schätztheorie
796
Theorie
293
Theory
293
Time series analysis
179
Zeitreihenanalyse
179
Nichtparametrisches Verfahren
112
Nonparametric statistics
112
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Statistischer Test
47
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Linton, Oliver
6
Francq, Christian
5
Horváth, Lajos
5
Chan, Ngai Hang
4
Zakoïan, Jean-Michel
4
Guggenberger, Patrik
3
Kokoszka, Piotr
3
Kristensen, Dennis
3
Zhang, Rongmao
3
Berkes, István
2
Chen, Yi-ting
2
Duffy, James A.
2
Ghysels, Eric
2
Hidalgo, Javier
2
Jansson, Michael
2
Kanaya, Shin
2
Leybourne, Stephen James
2
Li, Deyuan
2
Li, Jia
2
Pelletier, Denis
2
Peng, Liang
2
Phillips, Peter C. B.
2
Rahbek, Anders
2
Saikkonen, Pentti
2
Velasco, Carlos
2
Whang, Yoon-jae
2
Zaffaroni, Paolo
2
Zheng, John Xu
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Anderson, Theodore W.
1
Andreou, Alena
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Andrews, Donald W. K.
1
Arteche, Josu
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Audrino, Francesco
1
Avarucci, Marco
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Balter, Janine
1
Bandi, Federico M.
1
Beckert, Walter
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Econometric theory
Journal of econometrics
298
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
102
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
CREATES research paper
45
Cowles Foundation discussion paper
44
Economic modelling
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
35
Econometrics : open access journal
32
Journal of empirical finance
32
Cowles Foundation Discussion Paper
29
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
29
Journal of financial econometrics
28
Applied economics letters
26
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
25
Finance research letters
24
Journal of forecasting
24
SFB 649 discussion paper
24
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
23
Discussion papers of interdisciplinary research project 373
23
Journal of banking & finance
23
Série des documents de travail / Centre de Recherche en Économie et Statistique
22
Computational economics
21
Journal of time series econometrics
21
Journal of the American Statistical Association : JASA
20
Working paper
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Discussion paper / Center for Economic Research, Tilburg University
19
European journal of operational research : EJOR
19
Applied economics
18
Journal of risk and financial management : JRFM
18
Working paper / Department of Econometrics and Business Statistics, Monash University
18
NBER Working Paper
17
Quantitative finance
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ECONIS (ZBW)
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1
Consistent specification testing under spatial dependence
Gupta, Abhimanyu
;
Qu, Xi
- In:
Econometric theory
40
(
2024
)
2
,
pp. 278-319
Persistent link: https://www.econbiz.de/10014485243
Saved in:
2
Backward CUSUM for testing and monitoring structural change with an application to COVID-19 pandemic data
Otto, Sven
;
Breitung, Jörg
- In:
Econometric theory
39
(
2023
)
4
,
pp. 659-692
Persistent link: https://www.econbiz.de/10014342231
Saved in:
3
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
4
Test for zero median of errors in an ARMA-GARCH model
Ma, Yaolan
;
Zhou, Mohan
;
Peng, Liang
;
Zhang, Rongmao
- In:
Econometric theory
38
(
2022
)
3
,
pp. 536-561
Persistent link: https://www.econbiz.de/10013269973
Saved in:
5
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
6
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
Saved in:
7
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
8
Weak-identification robust wild bootstrap applied to a consistent model specification test
Hill, Jonathan B.
- In:
Econometric theory
37
(
2021
)
3
,
pp. 409-463
Persistent link: https://www.econbiz.de/10012593442
Saved in:
9
Efficient two-step generalized empirical likelihood estimation and tests with martingale differences
Jin, Fei
;
Lee, Lung-fei
- In:
Econometric theory
37
(
2021
)
3
,
pp. 573-612
Persistent link: https://www.econbiz.de/10012593449
Saved in:
10
Asymptotic theory for kernel estimators under moderate deviations from a unit root, with an application to the asymptotic size of nonparametric tests
Duffy, James A.
- In:
Econometric theory
36
(
2020
)
4
,
pp. 559-582
Persistent link: https://www.econbiz.de/10012258405
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