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subject:"Volatility"
type_genre:"Article in journal"
~subject:"Time series analysis"
~subject:"USA"
~type_genre:"Mehrbändiges Werk"
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Volatility
Time series analysis
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Schätztheorie
15,796
Estimation theory
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4,866
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4,866
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2,520
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2,489
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Phillips, Peter C. B.
30
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18
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18
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17
Kumar, Dilip
16
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16
Taylor, Robert
16
Teräsvirta, Timo
16
Hassler, Uwe
14
Johansen, Søren
14
Maheswaran, S.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Ghysels, Eric
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Li, Jia
13
Perron, Pierre
13
Tauchen, George Eugene
13
Xiao, Zhijie
13
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12
Baillie, Richard
11
Baltagi, Badi H.
11
Koop, Gary
11
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11
McAleer, Michael
11
Zhu, Ke
11
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10
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Granger, C. W. J.
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10
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10
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9
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9
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9
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9
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9
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The review of economics and statistics
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Econometrics : open access journal
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Journal of applied econometrics
53
The econometrics journal
48
Applied economics
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Journal of the American Statistical Association : JASA
41
Journal of empirical finance
40
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40
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37
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Oxford bulletin of economics and statistics
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of finance : the journal of the American Finance Association
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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21
Adaptation for nonparametric estimators of locally stationary processes
Dahlhaus, Rainer
;
Richter, Stefan
- In:
Econometric theory
39
(
2023
)
6
,
pp. 1123-1153
Persistent link: https://www.econbiz.de/10014465367
Saved in:
22
Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Hartkopf, Jan Patrick
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
1
,
pp. 393-436
Persistent link: https://www.econbiz.de/10014226292
Saved in:
23
Robust nonparametric estimation for the volatility of financial market
Kao, Chunyu
;
Song, Yuping
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014251158
Saved in:
24
Improvized implied volatility function and nonparametric approach to unbiased estimation
Muhammad, Atif Sattar
;
Zhang, Hailiang
;
Kanwal, Samra
; …
- In:
International journal of financial engineering
10
(
2023
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014251229
Saved in:
25
Quantile regression version of Hodrick-Prescott filter
Yamada, Hiroshi
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
4
,
pp. 1631-1645
Persistent link: https://www.econbiz.de/10014253711
Saved in:
26
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
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27
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
28
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:
29
Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.
;
Margaritella, Luca
;
Smeekes, Stephan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
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30
A new unique impulse response function in linear vector autoregressive models
Shi, Yanlin
- In:
International review of finance : the official journal …
23
(
2023
)
2
,
pp. 460-468
Persistent link: https://www.econbiz.de/10014326311
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