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~isPartOf:"Journal of financial econometrics"
~subject:"Schätztheorie"
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Schätztheorie
Time series analysis
40
Zeitreihenanalyse
40
Volatility
27
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27
Estimation
22
Schätzung
22
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22
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forecasting
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Bauwens, Luc
1
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1
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1
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1
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Journal of financial econometrics
Journal of econometrics
158
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
Econometric reviews
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
Economics letters
44
International journal of forecasting
38
Journal of time series econometrics
37
Econometric theory
36
Computational economics
24
The econometrics journal
17
Applied economics letters
16
Economic modelling
16
Applied economics
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Finance research letters
11
Journal of forecasting
11
Essays in honor of Joon Y. Park : econometric theory
9
Journal of empirical finance
9
Energy economics
8
Journal of quantitative economics
8
The North American journal of economics and finance : a journal of financial economics studies
8
Quantitative finance
7
Journal of risk
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Discussion paper / Centre for Economic Policy Research
5
Discussion papers / CEPR
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
Insurance / Mathematics & economics
5
International journal of economics and finance
5
Journal of mathematical finance
5
Research in international business and finance
5
European journal of operational research : EJOR
4
International journal of production economics
4
International journal of production research
4
Journal of banking & finance
4
Journal of economic dynamics & control
4
Journal of international financial markets, institutions & money
4
Astin bulletin : the journal of the International Actuarial Association
3
Finance and stochastics
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ECONIS (ZBW)
13
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
4
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
5
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
6
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
7
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
8
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
9
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
10
Unified inference for an AR process regardless of finite or infinite variance GARCH errors
Huang, Haitao
;
Leng, Xuan
;
Liu, Xiaohui
;
Peng, Liang
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 425-470
Persistent link: https://www.econbiz.de/10012232977
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