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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Econometric theory"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Finance research letters"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
ARCH model
Estimation theory
972
Schätztheorie
972
Theorie
349
Theory
349
Time series analysis
203
Zeitreihenanalyse
203
Nichtparametrisches Verfahren
129
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118
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Linton, Oliver
6
Chan, Ngai Hang
3
Francq, Christian
3
Horváth, Lajos
3
Kokoszka, Piotr
3
Ardia, David
2
Berkes, István
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Hafner, Christian M.
2
Kanaya, Shin
2
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2
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2
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2
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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
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1
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Econometric theory
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Finance research letters
Journal of econometrics
162
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
48
Discussion paper / Tinbergen Institute
47
Econometric reviews
38
CREATES research paper
35
Journal of empirical finance
30
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27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The econometrics journal
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International journal of forecasting
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SFB 649 discussion paper
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Econometrics : open access journal
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
International journal of theoretical and applied finance
15
Cowles Foundation discussion paper
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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European journal of operational research : EJOR
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Journal of mathematical finance
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of economics and financial issues : IJEFI
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Journal of risk
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Journal of time series econometrics
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1
Nonparametric statistical inference for stochastic optimal control problems and its applications for financial investment
Yang, Liu
;
Liang, Yanzi
;
Lan, Xinchen
;
Lu, Zheng
- In:
Finance research letters
64
(
2024
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014531668
Saved in:
2
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
Saved in:
3
An improved FIGARCH model with the fractional differencing operator (1-νL>)d
Pan, Qunxing
;
Li, Peng
;
Du, Xiuli
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-13
Persistent link: https://www.econbiz.de/10014473485
Saved in:
4
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
5
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
6
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
7
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
8
S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef
;
Chatrath, Arjun
;
Christie-David, Rohan
- In:
Finance research letters
51
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
Saved in:
9
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
10
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
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