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subject:"Volatility"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH-Modell"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Monte Carlo simulation
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
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Schätzung
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ARCH model
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Audrino, Francesco
2
Corsi, Fulvio
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Francq, Christian
2
Horváth, Lajos
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Zakoïan, Jean-Michel
2
Andreou, Alena
1
Balter, Janine
1
Bos, Charles S.
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Caldeira, João F.
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Carrasco, Marine
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Chen, Yi-ting
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Christoffersen, Peter F.
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Di, Jianing
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Engle, Robert F.
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Fan, Jianqing
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Fan, Yingying
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Frederiksen, Per
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Frühwirth-Schnatter, Sylvia
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1
Ghysels, Eric
1
Haag, Berthold R.
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Hahn, Markus
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Hassler, Uwe
1
Herwartz, Helmut
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Nagakura, Daisuke
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1
Nogales, Francisco J.
1
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1
Peluso, Stefano
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
174
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
Economics letters
59
Econometric theory
56
Discussion paper / Tinbergen Institute
50
Econometric reviews
47
Economic modelling
29
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
The econometrics journal
29
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CREATES research paper
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International journal of forecasting
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Econometrics : open access journal
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Journal of financial econometrics
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Journal of forecasting
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17
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17
Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
International journal of theoretical and applied finance
16
Journal of risk and financial management : JRFM
16
European journal of operational research : EJOR
15
Journal of risk
15
NBER working paper series
15
Working paper / Department of Econometrics and Business Statistics, Monash University
15
Journal of economic dynamics & control
14
The North American journal of economics and finance : a journal of financial economics studies
14
CEMMAP working papers / Centre for Microdata Methods and Practice
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
International journal of economics and financial issues : IJEFI
13
Journal of time series econometrics
13
Journal of mathematical finance
12
Journal of the American Statistical Association : JASA
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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
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
3
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:
4
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:
5
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:
6
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:
7
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
8
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:
9
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
10
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
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