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subject:"India"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH model"
~subject:"Noise Trading"
~subject:"Stochastic process"
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India
ARCH model
Noise Trading
Stochastic process
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatility
16
Volatilität
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Estimation
15
Schätzung
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ARCH-Modell
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Market microstructure
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Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Audrino, Francesco
1
Bu, Ruijun
1
Caldeira, João F.
1
Carrasco, Marine
1
Chen, Yi-ting
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Christoffersen, Peter F.
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Conrad, Christian A.
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Di, Jianing
1
Engle, Robert F.
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Feng, Dingan
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Frederiksen, Per
1
Gangopadhyay, Ashis
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Giet, Ludovic
1
Haag, Berthold R.
1
Hadri, Kaddour
1
Herwartz, Helmut
1
Hurn, Stan
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Jeisman, J. I.
1
Jiang, George J.
1
Kotchoni, Rachidi
1
Lindsay, Kenneth A.
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Lubrano, Michel
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Mancino, Maria Elvira
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Moura, Guilherme Valle
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Nagakura, Daisuke
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Nielsen, Morten Ørregaard
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Nogales, Francisco J.
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Sanfelici, Simona
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Santos, André A. P.
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Song, Peter X.-K.
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Spokojnyj, Vladimir G.
1
Suto, Nobuyuki
1
Taniai, Hiroyuki
1
Taniguchi, Masanobu
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
121
Econometric theory
49
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
46
Economics letters
35
Discussion paper / Tinbergen Institute
34
The Indian economic journal
32
Econometric reviews
30
CREATES research paper
29
Journal of quantitative economics : official journal of the Indian Econometric Society
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
The Indian journal of economics
23
Journal of empirical finance
22
Economic modelling
20
The econometrics journal
19
Finance research letters
16
International journal of forecasting
16
Econometrics : open access journal
15
Journal of forecasting
15
Journal of risk and financial management : JRFM
15
Computational economics
14
Journal of banking & finance
14
Journal of financial econometrics
14
SFB 649 discussion paper
14
Applied economics
13
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
13
European journal of operational research : EJOR
13
Journal of mathematical finance
13
Journal of risk
13
Journal of time series econometrics
13
Série des documents de travail / Centre de Recherche en Économie et Statistique
13
Cowles Foundation discussion paper
12
Discussion papers of interdisciplinary research project 373
12
Indian journal of agricultural economics
12
Journal of Indian School of Political Economy : a journal devoted to the study of Indian economy, polity, and society
12
Applied economics letters
11
Insurance / Mathematics & economics
11
International journal of economics and financial issues : IJEFI
11
Mathematics of operations research
11
Operations research
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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
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:
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
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:
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
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
Saved in:
9
One-step semiparametric estimation of the GARCH model
Di, Jianing
;
Gangopadhyay, Ashis
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
Saved in:
10
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
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