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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"International journal of forecasting"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Noise Trading"
~subject:"Stochastic process"
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Volatility
Noise Trading
Stochastic process
Estimation theory
326
Schätztheorie
326
Time series analysis
133
Zeitreihenanalyse
133
Forecasting model
128
Prognoseverfahren
128
Estimation
69
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69
Volatilität
47
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42
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Bu, Ruijun
2
Clements, Adam
2
Hadri, Kaddour
2
Hurn, Stan
2
Li, Jing
2
Abbara, Omar
1
Anatolyev, Stanislav
1
Andreou, Alena
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Bagnato, Luca
1
Balter, Janine
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Barajas-Solano, David A.
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1
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Carrasco, Marine
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Chan, Jennifer So Kuen
1
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1
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1
Chuffart, Thomas
1
Cipollini, Fabrizio
1
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1
Daníelsson, Jón
1
Demetrescu, Matei
1
Dimitrakopoulos, Stefanos
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Doolan, M. B.
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Espasa Terrades, Antoni
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Fan, Yingying
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Feng, Dingan
1
Flachaire, Emmanuel
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Fonseca, José da
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
International journal of forecasting
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
142
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
49
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
29
CREATES research paper
28
Economic modelling
27
Econometric theory
25
Journal of empirical finance
22
Finance research letters
16
Quantitative finance
16
International journal of theoretical and applied finance
15
Journal of banking & finance
15
Journal of financial econometrics
15
SFB 649 discussion paper
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Cowles Foundation discussion paper
13
Econometrics : open access journal
13
The North American journal of economics and finance : a journal of financial economics studies
12
Discussion papers of interdisciplinary research project 373
11
Mathematics of operations research
11
Computational economics
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Finance and stochastics
10
Journal of mathematical finance
10
Operations research
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Insurance / Mathematics & economics
9
NBER Working Paper
9
Working paper
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
8
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
3
Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 346-363
Persistent link: https://www.econbiz.de/10014462786
Saved in:
4
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
5
Physics-informed Gaussian process regression for states estimation and forecasting in power grids
Tartakovsky, Alexandre M.
;
Ma, Tong
;
Barajas-Solano, …
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 967-980
Persistent link: https://www.econbiz.de/10014465184
Saved in:
6
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
7
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
8
Forecasting in GARCH models with polynomially modified innovations
Vacca, Gianmarco
;
Zoia, Maria Grazia
;
Bagnato, Luca
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10013347743
Saved in:
9
Realized volatility forecasting : Robustness to measurement errors
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Otranto, Edoardo
- In:
International journal of forecasting
37
(
2021
)
1
,
pp. 44-57
Persistent link: https://www.econbiz.de/10012692572
Saved in:
10
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
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