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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Analysis of variance
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Discussion paper series
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
36
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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1
Forecasting covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
Saved in:
2
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:
3
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:
4
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:
5
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
6
Testing for causality in variance in the presence of breaks
Dijk, Dick van
(
contributor
);
Osborn, Denise R.
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002434290
Saved in:
7
Outlyingness weighted covariation
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
4
,
pp. 657-684
Persistent link: https://www.econbiz.de/10009407333
Saved in:
8
Structural conditional correlation
Weber, Enzo
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
3
,
pp. 392-407
Persistent link: https://www.econbiz.de/10003997412
Saved in:
9
A realized variance for the whole day based on intermittent high-frequency data
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
4
,
pp. 525-554
Persistent link: https://www.econbiz.de/10003154305
Saved in:
10
Properties of bias-corrected realized variance under alternative sampling schemes
Oomen, Roel C. A.
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
4
,
pp. 555-577
Persistent link: https://www.econbiz.de/10003154307
Saved in:
11
Fourth moment structure of multivariate GARCH models
Hafner, Christian M.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 26-54
Persistent link: https://www.econbiz.de/10002220839
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