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subject:"Forecasting model"
~isPartOf:"Journal of financial econometrics"
~subject:"ARCH-Modell"
~subject:"Großbritannien"
~subject:"Risk premium"
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Forecasting model
ARCH-Modell
Großbritannien
Risk premium
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
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Kleibergen, Frank
5
Kong, Lingwei
5
Zhan, Zhaoguo
5
Khalaf, Lynda
2
Peñaranda, Francisco
2
Sancetta, Alessio
2
Zaffaroni, Paolo
2
Cai, Charlie X.
1
Cai, Yuzhi
1
Cipollini, Fabrizio
1
Dahl, Christian M.
1
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1
Grønneberg, Steffen
1
Gungor, Sermin
1
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1
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1
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1
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1
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1
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1
Kim, Minjoo
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1
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1
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Sucarrat, Genaro
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Journal of financial econometrics
Journal of econometrics
125
International journal of forecasting
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
78
Journal of forecasting
73
Econometric theory
48
Economics letters
46
Discussion paper / Tinbergen Institute
43
The econometrics journal
27
Econometric reviews
26
Journal of empirical finance
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Working paper / Department of Econometrics and Business Statistics, Monash University
22
CREATES research paper
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Finance research letters
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Journal of banking & finance
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Insurance / Mathematics & economics
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Applied economics
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Economic modelling
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Oxford bulletin of economics and statistics
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Discussion paper
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Journal of applied econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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NBER working paper series
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Applied economics letters
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International journal of economics and financial issues : IJEFI
15
Journal of risk and financial management : JRFM
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Working paper
15
Working paper / National Bureau of Economic Research, Inc.
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
14
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
Journal of risk
14
Journal of the American Statistical Association : JASA
14
Journal of time series econometrics
14
NBER Working Paper
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Computational economics
12
European journal of operational research : EJOR
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
Working papers / Rutgers University, Department of Economics
12
CESifo working papers
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Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
Saved in:
3
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
4
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
5
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
6
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
7
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
8
Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
Saved in:
9
Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
Saved in:
10
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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