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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Correlation"
~subject:"Estimation"
~subject:"Noise trading"
~subject:"Nonparametric statistics"
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Volatility
Correlation
Estimation
Noise trading
Nonparametric statistics
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
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15
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Audrino, Francesco
2
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Härdle, Wolfgang
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1
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Fan, Yingying
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
559
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
233
Economics letters
199
CEMMAP working papers / Centre for Microdata Methods and Practice
149
Econometric theory
143
Econometric reviews
138
Journal of the American Statistical Association : JASA
103
The econometrics journal
95
Discussion paper series / IZA
88
Discussion paper / Tinbergen Institute
77
NBER Working Paper
73
Applied economics letters
71
Working paper / Department of Econometrics and Business Statistics, Monash University
67
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66
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
66
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64
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
63
Quantitative economics : QE ; journal of the Econometric Society
58
Discussion papers of interdisciplinary research project 373
57
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54
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
53
Journal of applied econometrics
53
SFB 649 discussion paper
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
Working paper
50
Working paper / National Bureau of Economic Research, Inc.
48
IZA Discussion Paper
46
Cowles Foundation discussion paper
45
Journal of banking & finance
45
CREATES research paper
44
International journal of forecasting
44
Econometrics : open access journal
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European journal of operational research : EJOR
41
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39
Journal of empirical finance
39
Cambridge working papers in economics
38
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
38
Computational economics
37
Discussion paper
37
Econometrics papers
36
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
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
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
9
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:
10
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
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