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subject:"United States"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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United States
Volatility
ARCH model
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
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9
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Sancetta, Alessio
2
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Cipollini, Fabrizio
1
Gallo, Giampiero M.
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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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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1
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1
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1
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Journal of financial econometrics
Journal of econometrics
168
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
145
Economics letters
56
Econometric theory
52
The review of economics and statistics
45
Discussion paper / Tinbergen Institute
41
Working paper / National Bureau of Economic Research, Inc.
40
Econometric reviews
37
CREATES research paper
33
Journal of empirical finance
33
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
International journal of forecasting
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Journal of applied econometrics
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Applied economics
24
The econometrics journal
24
Journal of forecasting
23
Journal of banking & finance
22
American journal of agricultural economics
20
Economic modelling
20
Finance research letters
19
The journal of futures markets
18
NBER working paper series
17
Journal of financial and quantitative analysis : JFQA
16
The journal of finance : the journal of the American Finance Association
16
Applied economics letters
15
Quantitative finance
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
The review of financial studies
15
International journal of theoretical and applied finance
14
Technical working paper / National Bureau of Economic Research
14
Discussion paper / Centre for Economic Policy Research
13
International journal of economics and financial issues : IJEFI
13
Journal of risk
13
Journal of risk and financial management : JRFM
13
SFB 649 discussion paper
13
The North American journal of economics and finance : a journal of financial economics studies
13
CEMMAP working papers / Centre for Microdata Methods and Practice
12
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1
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
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
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:
4
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:
5
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
6
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:
7
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:
8
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
9
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
10
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
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