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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Market microstructure"
~subject:"Stichprobenerhebung"
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Volatility
Market microstructure
Stichprobenerhebung
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH model
11
ARCH-Modell
11
Marktmikrostruktur
10
Capital income
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Kapitaleinkommen
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Corsi, Fulvio
2
Andreou, Alena
1
Audrino, Francesco
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Balter, Janine
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Bos, Charles S.
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Caldeira, João F.
1
Carrasco, Marine
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Fan, Jianqing
1
Fan, Yingying
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Francq, Christian
1
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Ghysels, Eric
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Hassler, Uwe
1
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1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Li, Yingying
1
Lv, Jinchi
1
Mancino, Maria Elvira
1
Mira, Antonietta
1
Moura, Guilherme Valle
1
Mykland, Per A.
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Nielsen, Morten Ørregaard
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Nogales, Francisco J.
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Oya, Kosuke
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Rodrigues, Paulo M. M.
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Rubia, Antonio
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Sanfelici, Simona
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Santos, André A. P.
1
Spokojnyj, Vladimir G.
1
Suto, Nobuyuki
1
Taniai, Hiroyuki
1
Taniguchi, Masanobu
1
Tsukahara, Hideatsu
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
164
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
Economics letters
50
Discussion paper / Tinbergen Institute
43
Econometric reviews
33
Statistics in transition : an international journal of the Polish Statistical Association
32
Journal of the American Statistical Association : JASA
24
Journal of empirical finance
23
Economic modelling
21
CREATES research paper
20
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
20
Journal of financial econometrics
19
NBER Working Paper
19
Econometric theory
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
The econometrics journal
18
Econometrics : open access journal
17
Quantitative finance
17
International journal of forecasting
16
Journal of banking & finance
15
International journal of theoretical and applied finance
14
Série des documents de travail / Centre de Recherche en Économie et Statistique
14
Discussion paper / Center for Economic Research, Tilburg University
13
Discussion paper / Central Bureau voor de Statistiek
13
Discussion paper series / IZA
12
Finance research letters
12
Applied economics
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of risk and financial management : JRFM
11
NBER working paper series
11
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
11
The North American journal of economics and finance : a journal of financial economics studies
11
Working paper / National Bureau of Economic Research, Inc.
11
Applied economics letters
10
CEMMAP working papers / Centre for Microdata Methods and Practice
10
European journal of operational research : EJOR
10
Journal of applied econometrics
10
Journal of forecasting
10
SFB 649 discussion paper
10
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
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
Saved in:
9
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
10
Estimation of distortion risk measures
Tsukahara, Hideatsu
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
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