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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Momentenmethode"
~subject:"Share price"
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Volatility
Momentenmethode
Share price
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH model
11
ARCH-Modell
11
Market microstructure
10
Marktmikrostruktur
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Capital income
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Kapitaleinkommen
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Risikomaß
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Risk measure
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Theorie
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Theory
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Correlation
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Regression analysis
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Analysis of variance
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Noise Trading
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Statistical test
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Statistischer Test
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Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Candelon, Bertrand
1
Carrasco, Marine
1
Chen, Yi-ting
1
Colletaz, Gilbert
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Hurlin, Christophe
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Li, Yingying
1
Lv, Jinchi
1
Moon, Seongman
1
Moura, Guilherme Valle
1
Mykland, Per A.
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Nagakura, Daisuke
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Nielsen, Morten Ørregaard
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Nogales, Francisco J.
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Rodrigues, Paulo M. M.
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Rubia, Antonio
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Rydberg, Tina Hvild
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Santos, André A. P.
1
Shephard, Neil G.
1
Spokojnyj, Vladimir G.
1
Suto, Nobuyuki
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
227
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
Economics letters
63
Econometric reviews
58
CEMMAP working papers / Centre for Microdata Methods and Practice
42
Econometric theory
41
Discussion paper / Tinbergen Institute
37
Journal of empirical finance
29
Cowles Foundation Discussion Paper
28
The econometrics journal
25
Cowles Foundation discussion paper
24
Economic modelling
24
Econometrics : open access journal
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
CESifo working papers
21
CREATES research paper
21
Journal of banking & finance
21
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
20
Quantitative finance
20
Finance research letters
18
Working paper / Department of Econometrics and Business Statistics, Monash University
17
Journal of financial econometrics
16
NBER Working Paper
16
Cambridge working papers in economics
15
The North American journal of economics and finance : a journal of financial economics studies
15
Working paper
15
Applied economics letters
14
International journal of forecasting
14
International journal of theoretical and applied finance
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
International journal of economics and financial issues : IJEFI
13
Applied economics
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
12
NBER working paper series
12
SFB 649 discussion paper
12
Journal of financial economics
11
Regional science & urban economics
11
Working paper / National Bureau of Economic Research, Inc.
11
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ECONIS (ZBW)
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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
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:
7
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:
8
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:
9
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:
10
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
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