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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:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Correlation"
~subject:"Forecasting model"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Forecasting model
Estimation theory
283
Schätztheorie
283
Time series analysis
96
Zeitreihenanalyse
96
Estimation
71
Schätzung
71
Nichtparametrisches Verfahren
52
Nonparametric statistics
52
Prognoseverfahren
35
Regression analysis
35
Regressionsanalyse
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Volatilität
34
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26
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Hyndman, Rob J.
9
Gao, Jiti
7
Athanasopoulos, George
3
Jiang, Bin
3
Martin, Gael M.
3
Sancetta, Alessio
3
Vahid, Farshid
3
Audrino, Francesco
2
Cheng, Tingting
2
Corsi, Fulvio
2
Francq, Christian
2
Frazier, David T.
2
Harris, David
2
Horváth, Lajos
2
Kew, Hsein
2
Koo, Bonsoo
2
Li, Degui
2
Linton, Oliver
2
Maneesoonthorn, Worapree
2
Panagiotelis, Anastasios
2
Phillips, Peter C. B.
2
Zakoïan, Jean-Michel
2
Zhang, Xibin
2
Agrawal, Raj
1
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Armstrong, Jon Scott
1
Ashouri, Mahsa
1
Bailey, Natalia
1
Balter, Janine
1
Bauwens, Luc
1
Ben Taieb, Souhaib
1
Bergmeir, Christoph
1
Bos, Charles S.
1
Boudt, Kris
1
Buccheri, Giuseppe
1
Cai, Biqing
1
Cai, Charlie X.
1
Cai, Yuzhi
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
221
International journal of forecasting
114
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
104
Journal of forecasting
74
Economics letters
67
Discussion paper / Tinbergen Institute
50
Econometric reviews
38
Journal of empirical finance
37
Econometric theory
36
Journal of the American Statistical Association : JASA
31
The econometrics journal
30
CREATES research paper
25
Finance research letters
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Economic modelling
23
Journal of banking & finance
23
Quantitative finance
23
Cambridge working papers in economics
22
Econometrics : open access journal
20
NBER Working Paper
20
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
20
Applied economics letters
19
Computational economics
19
SFB 649 discussion paper
19
Working paper
19
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
Applied economics
16
NBER working paper series
16
Working paper / National Bureau of Economic Research, Inc.
16
CESifo working papers
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
15
European journal of operational research : EJOR
15
Working papers / Rutgers University, Department of Economics
15
Insurance / Mathematics & economics
14
Journal of risk and financial management : JRFM
14
Risks : open access journal
14
The North American journal of economics and finance : a journal of financial economics studies
14
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ECONIS (ZBW)
80
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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
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
3
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:
4
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
5
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:
6
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:
7
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:
8
Loss-based variational Bayes prediction
Frazier, David T.
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2021
Persistent link: https://www.econbiz.de/10012614593
Saved in:
9
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:
10
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
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