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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
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Estimation theory
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Engle, Robert F.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Working paper / National Bureau of Economic Research, Inc.
Journal of econometrics
130
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
50
Discussion paper / Tinbergen Institute
29
Economics letters
29
Journal of empirical finance
28
Econometric reviews
22
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
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Finance research letters
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Journal of financial econometrics
15
International journal of forecasting
14
International journal of theoretical and applied finance
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The North American journal of economics and finance : a journal of financial economics studies
14
International journal of economics and financial issues : IJEFI
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Journal of forecasting
13
Journal of risk and financial management : JRFM
13
The econometrics journal
12
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Cambridge working papers in economics
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SFB 649 discussion paper
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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
10
Econometrics : open access journal
10
Journal of mathematical finance
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
International review of financial analysis
9
Journal of financial economics
9
NBER working paper series
9
The journal of finance : the journal of the American Finance Association
9
Applied economics
8
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Finance and stochastics
8
Journal of financial and quantitative analysis : JFQA
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1
Identifying price informativeness
Dávila, Eduardo
;
Parlatore, Cecilia
-
2018
Persistent link: https://www.econbiz.de/10011953651
Saved in:
2
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
3
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
4
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
5
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
6
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
7
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
8
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
9
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
10
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
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