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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"NBER working paper series"
~subject:"Share price"
~subject:"Volatilität"
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Search: subject_exact:"Estimation theory"
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Volatility
Share price
Volatilität
Estimation theory
416
Schätztheorie
416
Estimation
79
Schätzung
79
Time series analysis
60
Zeitreihenanalyse
60
Regression analysis
38
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Sancetta, Alessio
2
Ahlgren, Niklas
1
Ait-Sahalia, Yacine
1
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1
Andreou, Alena
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Fan, Yingying
1
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1
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1
Francq, Christian
1
Frankel, Jeffrey A.
1
Frederiksen, Per
1
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1
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1
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1
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1
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1
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1
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1
Ikeda, Shin S.
1
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1
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1
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1
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National Bureau of Economic Research
9
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial econometrics
NBER working paper series
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
22
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Journal of banking & finance
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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10
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9
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9
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9
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9
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8
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8
Finance and stochastics
8
Journal of financial and quantitative analysis : JFQA
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ECONIS (ZBW)
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
4
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
5
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
6
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
7
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
8
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
9
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
10
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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