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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
Estimation theory
73
Schätztheorie
73
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH model
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Corsi, Fulvio
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Di, Jianing
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1
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Miao, Hong
1
Mira, Antonietta
1
Moura, Guilherme Valle
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
369
Econometric theory
170
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
169
Economics letters
153
Discussion paper / Tinbergen Institute
107
Econometric reviews
98
International journal of forecasting
70
Working paper / Department of Econometrics and Business Statistics, Monash University
67
CREATES research paper
65
Journal of forecasting
61
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Applied economics letters
54
Econometrics : open access journal
53
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
45
NBER Working Paper
45
The econometrics journal
45
Economic modelling
44
Cowles Foundation discussion paper
43
Journal of time series econometrics
40
Journal of empirical finance
39
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
39
Applied economics
38
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Journal of the American Statistical Association : JASA
37
Computational economics
36
Journal of applied econometrics
33
NBER working paper series
31
SFB 649 discussion paper
31
Série des documents de travail / Centre de Recherche en Économie et Statistique
31
EUI working paper / ECO
29
Working paper series
26
Working paper / National Bureau of Economic Research, Inc.
25
Oxford bulletin of economics and statistics
24
Technical working paper / National Bureau of Economic Research
24
Working paper
24
Discussion paper / Center for Economic Research, Tilburg University
23
Finance research letters
23
LSE STICERD Research Paper
23
NBER technical working paper series
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1
Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
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
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
Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
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
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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