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subject:"Volatility"
~isPartOf:"The econometrics journal"
~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
268
Schätztheorie
268
Nichtparametrisches Verfahren
59
Nonparametric statistics
59
Regression analysis
55
Regressionsanalyse
55
Panel
39
Panel study
39
Time series analysis
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Monte-Carlo-Simulation
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Čížek, Pavel
2
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1
Arvanitis, Stelios
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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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The econometrics journal
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
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CREATES research paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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International journal of forecasting
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19
Journal of banking & finance
17
Quantitative finance
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
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
Designed quadrature to approximate integrals in maximum simulated likelihood estimation
Bansal, Prateek
;
Keshavarzzadeh, Vahid
;
Guevara, Angelo
; …
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 301-321
Persistent link: https://www.econbiz.de/10013253833
Saved in:
4
Estimation of dynamic models of recurrent events with censored data
Lee, Sanghyeok
;
Gørgens, Tue
- In:
The econometrics journal
24
(
2021
)
2
,
pp. 199-224
Persistent link: https://www.econbiz.de/10012594987
Saved in:
5
Online estimation of DSGE models
Cai, Michael
;
Del Negro, Marco
;
Herbst, Edward P.
; …
- In:
The econometrics journal
24
(
2021
)
1
,
pp. C33-C58
Persistent link: https://www.econbiz.de/10012504440
Saved in:
6
Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.
;
Hauzenberger, Klemens
- In:
The econometrics journal
24
(
2021
)
3
,
pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
Saved in:
7
Quantile-based smooth transition value at risk estimation
Hubner, Stefan
;
Čížek, Pavel
- In:
The econometrics journal
22
(
2019
)
3
,
pp. 241-261
Persistent link: https://www.econbiz.de/10012166749
Saved in:
8
Testing for changing volatility
Wu, Jilin
;
Xiao, Zhijie
- In:
The econometrics journal
21
(
2018
)
2
,
pp. 192-217
Persistent link: https://www.econbiz.de/10012166609
Saved in:
9
Least-squares estimation of GARCH(1,1) models with heavy-tailed errors
Preminger, Arie
;
Storti, Giuseppe
- In:
The econometrics journal
20
(
2017
)
2
,
pp. 221-258
Persistent link: https://www.econbiz.de/10011757387
Saved in:
10
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
- In:
The econometrics journal
19
(
2016
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011487524
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