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subject:"Volatilität"
subject:"Yield curve"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Volatilität
Yield curve
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatility
16
Estimation
15
Schätzung
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ARCH model
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Andreou, Alena
1
Audrino, Francesco
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Fan, Jianqing
1
Fan, Yingying
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Ferreira, Eva
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Francq, Christian
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Frederiksen, Per
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Ghysels, Eric
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Gil-Bazo, Javier
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Hassler, Uwe
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Herwartz, Helmut
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Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
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Li, Yingying
1
Lv, Jinchi
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
Nagakura, Daisuke
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Nielsen, Morten Ørregaard
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Nogales, Francisco J.
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Rodrigues, Paulo M. M.
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Rubia, Antonio
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Santos, André A. P.
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Spokojnyj, Vladimir G.
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Suto, Nobuyuki
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Taniai, Hiroyuki
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Taniguchi, Masanobu
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Trojani, Fabio
1
Tsukahara, Hideatsu
1
Usami, Takashi
1
Visser, Marcel P.
1
Watanabe, Toshiaki
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
120
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Discussion paper / Tinbergen Institute
29
Economics letters
27
Journal of empirical finance
26
Econometric reviews
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Economic modelling
18
Journal of banking & finance
18
Finance research letters
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International journal of theoretical and applied finance
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Quantitative finance
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CREATES research paper
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Journal of financial econometrics
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Econometric theory
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International journal of forecasting
15
The North American journal of economics and finance : a journal of financial economics studies
14
The econometrics journal
12
Journal of forecasting
11
Econometrics : open access journal
10
Finance and stochastics
10
Journal of risk and financial management : JRFM
10
SFB 649 discussion paper
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
9
Journal of mathematical finance
9
NBER Working Paper
9
Applied economics
8
International journal of economics and financial issues : IJEFI
8
Journal of financial economics
8
Working papers
8
Applied economics letters
7
Asia-Pacific financial markets
7
Computational economics
7
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
GRIPS discussion papers
7
International journal of financial engineering
7
Working paper
7
Working paper / Department of Econometrics and Business Statistics, Monash University
7
Working paper / National Bureau of Economic Research, Inc.
7
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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
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
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
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:
5
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:
6
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:
7
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
Saved in:
8
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
9
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:
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
Saved in:
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