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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"The econometrics journal"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
Estimation theory
682
Schätztheorie
682
Theorie
273
Theory
273
Zeitreihenanalyse
125
Nichtparametrisches Verfahren
104
Nonparametric statistics
104
Regression analysis
82
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82
Estimation
77
Schätzung
77
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60
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56
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56
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48
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48
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36
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36
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35
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Article
142
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Article in journal
Aufsatz in Zeitschrift
142
Conference paper
1
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English
142
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Phillips, Peter C. B.
5
Nelson, Daniel B.
4
Abadir, Karim Maher
3
Hadri, Kaddour
3
Tauchen, George Eugene
3
Andrews, Donald W. K.
2
Baillie, Richard
2
Dufour, Jean-Marie
2
Foster, Dean P.
2
Kapetanios, George
2
Li, Jia
2
Li, Jing
2
Perron, Pierre
2
Sims, Christopher A.
2
Stock, James H.
2
Teräsvirta, Timo
2
Tzavalis, Elias
2
Uhlig, Harald
2
Velasco, Carlos
2
Watson, Mark W.
2
White, Halbert
2
Abbara, Omar
1
Alvarez, Javier
1
Anatolyev, Stanislav
1
Arellano, Manuel
1
Bai, Jushan
1
Banerjee, Anurag Narayan
1
Baruník, Jozef
1
Bekiros, Stelios
1
Bierens, Herman J.
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Carnero, M. Angeles
1
Chambers, Marcus J.
1
Chan, Jennifer So Kuen
1
Chen, Jia
1
Chen, Xiaohong
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
The econometrics journal
Journal of econometrics
364
Econometric theory
167
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
161
Economics letters
151
Econometric reviews
96
International journal of forecasting
69
Journal of forecasting
61
Applied economics letters
53
Econometrics : open access journal
51
Economic modelling
44
Journal of time series econometrics
40
Applied economics
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
Journal of empirical finance
37
Journal of the American Statistical Association : JASA
37
Computational economics
35
Journal of applied econometrics
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
Oxford bulletin of economics and statistics
23
Finance research letters
21
Journal of banking & finance
21
Journal of risk and financial management : JRFM
21
Journal of financial econometrics
18
Quantitative finance
17
International journal of economics and financial issues : IJEFI
16
The North American journal of economics and finance : a journal of financial economics studies
16
Journal of macroeconomics
15
The review of economics and statistics
15
International journal of theoretical and applied finance
14
Journal of economic dynamics & control
14
Quantitative economics : QE ; journal of the Econometric Society
14
The review of economic studies
13
Journal of quantitative economics
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
Energy economics
11
Central European journal of economic modelling and econometrics
10
European journal of operational research : EJOR
10
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ECONIS (ZBW)
142
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
R-estimators in GARCH models : asymptotics and applications
Liu, Hang
;
Mukherjee, Kanchan
- In:
The econometrics journal
25
(
2022
)
1
,
pp. 98-113
Persistent link: https://www.econbiz.de/10012878893
Saved in:
3
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
4
The vector error correction index model : representation, estimation and identification
Cubadda, Gianluca
;
Mazzali, Marco
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 126-150
Persistent link: https://www.econbiz.de/10014528100
Saved in:
5
Selecting between causal and noncausal models with quantile autoregressions
Hecq, Alain W. J.
;
Sun, Li
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 393-416
Persistent link: https://www.econbiz.de/10012806552
Saved in:
6
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
7
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
8
Bubble testing under polynomial trends
Wang, Xiaohu
;
Yu, Jun
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 25-44
Persistent link: https://www.econbiz.de/10013543273
Saved in:
9
Single step estimation of ARMA roots for nonfundamental nonstationary fractional models
Lobato, Ignacio N.
;
Velasco, Carlos
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 455-476
Persistent link: https://www.econbiz.de/10013253844
Saved in:
10
Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni
;
Dufays, Arnaud
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 311-343
Persistent link: https://www.econbiz.de/10012806535
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