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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Estimation"
~subject:"Noise Trading"
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Volatility
Estimation
Noise Trading
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Schätzung
15
ARCH model
11
ARCH-Modell
11
Market microstructure
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Capital income
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Nichtparametrisches Verfahren
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Stochastic process
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Börsenkurs
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Analysis of variance
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Noise trading
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Statistical test
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Audrino, Francesco
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bos, Charles S.
1
Bu, Ruijun
1
Caldeira, João F.
1
Cappiello, Lorenzo
1
Carrasco, Marine
1
Chen, Yi-ting
1
Corsi, Fulvio
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Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Giet, Ludovic
1
Gérard, Bruno
1
Hadri, Kaddour
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Kadareja, Arjan
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Koopman, Siem Jan
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Kotchoni, Rachidi
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Li, Yingying
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Moura, Guilherme Valle
1
Mykland, Per A.
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
288
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
152
Economics letters
125
Econometric reviews
70
Economic modelling
59
Applied economics letters
58
Discussion paper series / IZA
58
Discussion paper / Tinbergen Institute
53
NBER Working Paper
53
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
CEMMAP working papers / Centre for Microdata Methods and Practice
49
NBER working paper series
47
Applied economics
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Journal of applied econometrics
40
Working paper / Department of Econometrics and Business Statistics, Monash University
39
Journal of banking & finance
37
Econometric theory
36
The econometrics journal
36
Working paper / National Bureau of Economic Research, Inc.
36
Working paper
35
Journal of empirical finance
34
International journal of forecasting
33
CESifo working papers
32
IZA Discussion Paper
32
Quantitative economics : QE ; journal of the Econometric Society
31
Discussion papers / CEPR
30
Discussion paper
29
CREATES research paper
28
Econometrics : open access journal
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
26
Journal of the American Statistical Association : JASA
26
Journal of forecasting
25
Computational economics
24
International journal of economics and financial issues : IJEFI
23
SFB 649 discussion paper
23
The review of economics and statistics
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
European journal of operational research : EJOR
22
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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
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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