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subject:"Time series analysis"
subject:"United States"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The journal of finance : the journal of the American Finance Association"
~language:"eng"
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Time series analysis
United States
Estimation
77
Schätzung
77
Volatility
33
Volatilität
33
Capital income
25
Kapitaleinkommen
25
Theorie
24
Theory
24
Zeitreihenanalyse
24
USA
21
Börsenkurs
20
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20
Estimation theory
16
Schätztheorie
16
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14
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12
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12
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Yield curve
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Zinsstruktur
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realized volatility
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English
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Ghysels, Eric
2
Simutin, Mikhail
2
Akbas, Ferhat
1
Andreou, Elena
1
Babii, Andrii
1
Bianchi, Francesco
1
Boguth, Oliver
1
Bu, Ruijun
1
Calzolari, Giorgio
1
Cederburg, Scott
1
Cenesizoglu, Tolga
1
Chen, Qiang
1
Cujean, Julien
1
Duchin, Ran
1
Ellul, Andrew
1
Erdemlioglu, Deniz
1
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1
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1
Gerlach, Richard
1
Giannetti, Mariassunta
1
Gong, Yuting
1
Gorgi, P.
1
Granja, João
1
Grundy, Bruce D.
1
Grønneberg, Steffen
1
Haddad, Valentin
1
Halbleib, Roxana
1
Han, Heejoon
1
Hansen, Anne Lundgaard
1
Hansen, Peter Reinhard
1
Hartl, Tobias
1
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1
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1
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1
Hung, Mao-Wei
1
Ibrushi, Denada
1
Inoue, Atsushi
1
Jach, Agnieszka
1
Janus, Paweł
1
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1
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Journal of financial econometrics
The journal of finance : the journal of the American Finance Association
Working paper / National Bureau of Economic Research, Inc.
461
Discussion paper / Centre for Economic Policy Research
371
Economic modelling
99
Applied economics
92
Journal of econometrics
86
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
85
Energy economics
77
Economics letters
64
Applied economics letters
63
Finance research letters
58
The North American journal of economics and finance : a journal of financial economics studies
57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
American economic journal : a journal of the American Economic Association
54
International review of economics & finance : IREF
52
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
51
International journal of forecasting
51
Academy of Management journal : AMJ
41
Journal of economic dynamics & control
35
The review of financial studies
33
Discussion papers / CEPR
30
The American economic review
30
Journal of applied econometrics
29
Econometric reviews
26
NBER working paper series
26
Journal of banking & finance
24
Journal of empirical finance
24
Research in international business and finance
24
Journal of macroeconomics
23
Empirical economics : a quarterly journal of the Institute for Advanced Studies
22
International review of financial analysis
22
Computational economics
21
SpringerLink / Bücher
21
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
20
The review of economics and statistics
19
Journal of forecasting
18
International journal of finance & economics : IJFE
17
Macroeconomic dynamics
17
Journal of international money and finance
16
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ECONIS (ZBW)
44
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
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:
3
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
4
High-dimensional granger causality tests with an application to VIX and news
Babii, Andrii
;
Ghysels, Eric
;
Striaukas, Jonas
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 605-635
Persistent link: https://www.econbiz.de/10015045166
Saved in:
5
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
Saved in:
6
Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 316-367
Persistent link: https://www.econbiz.de/10014314751
Saved in:
7
Forecasting under long memory
Hassler, Uwe
;
Pohle, Marc-Oliver
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
Saved in:
8
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
9
Multivariate fractional components analysis
Hartl, Tobias
;
Jucknewitz, Roland
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 880-914
Persistent link: https://www.econbiz.de/10014314837
Saved in:
10
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
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