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subject:"Share price"
subject:"Stock index"
~accessRights:"restricted"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~language:"eng"
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Share price
Stock index
Estimation
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Estimation theory
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Time series analysis
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Barassi, Marco R.
1
Bibinger, Markus
1
Bollerslev, Tim
1
Bommes, Elisabeth
1
Bormetti, Giacomo
1
Buccheri, Giuseppe
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1
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1
Malec, Peter
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Finance research letters
142
International review of economics & finance : IREF
83
International review of financial analysis
81
The North American journal of economics and finance : a journal of financial economics studies
81
Economic modelling
66
Applied economics
65
Research in international business and finance
61
Energy economics
60
Journal of empirical finance
57
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53
Discussion paper / Centre for Economic Policy Research
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Pacific-Basin finance journal
49
Applied economics letters
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Working paper / National Bureau of Economic Research, Inc.
39
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
35
Review of quantitative finance and accounting
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The European journal of finance
31
International journal of finance & economics : IJFE
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International journal of economics and finance
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Journal of financial markets
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Quantitative finance
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Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
25
Economics letters
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Global finance journal
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International journal of emerging markets
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Journal of international money and finance
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Journal of financial econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of futures markets
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Economic research
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Investment management and financial innovations
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International journal of forecasting
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ECONIS (ZBW)
15
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1
On bivariate time-varying price staleness
Zhu, Haibin
;
Liu, Zhi
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 229-242
Persistent link: https://www.econbiz.de/10014449902
Saved in:
2
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
3
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
4
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
5
Nonlinear predictability of stock returns? : parametric versus nonparametric inference in predictive regressions
Demetrescu, Matei
;
Hillmann, Benjamin
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 382-397
Persistent link: https://www.econbiz.de/10012804123
Saved in:
6
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
7
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
8
Price dividend ratio and long-run stock returns : a score-driven state space model
Delle Monache, Davide
;
Petrella, Ivan
;
Venditti, Fabrizio
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1054-1065
Persistent link: https://www.econbiz.de/10012653225
Saved in:
9
Change‐point detection in the conditional correlation structure of multivariate volatility models
Barassi, Marco R.
;
Horváth, Lajos
;
Zhao, Yuqian
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 340-349
Persistent link: https://www.econbiz.de/10012262479
Saved in:
10
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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