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subject:"Volatility"
~subject:"Zinsstruktur"
~isPartOf:"Journal of financial econometrics"
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Search: subject_exact:"Estimation theory"
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Volatility
Zinsstruktur
Estimation theory
43
Schätztheorie
43
Estimation
15
Schätzung
15
Time series analysis
11
Zeitreihenanalyse
11
Volatilität
10
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Induktive Statistik
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Sancetta, Alessio
2
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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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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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1
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1
Spencer, Peter D.
1
Sucarrat, Genaro
1
Taboga, Marco
1
Taylor, Stephen
1
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1
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Journal of financial econometrics
Journal of econometrics
120
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
50
Discussion paper / Tinbergen Institute
29
Economics letters
27
Journal of empirical finance
26
Econometric reviews
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Economic modelling
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Journal of banking & finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
International journal of theoretical and applied finance
17
CREATES research paper
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Finance research letters
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Quantitative finance
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International journal of forecasting
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Econometric theory
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The North American journal of economics and finance : a journal of financial economics studies
14
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11
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11
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10
Journal of risk and financial management : JRFM
10
SFB 649 discussion paper
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
9
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7
International journal of financial engineering
7
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7
Working paper / Department of Econometrics and Business Statistics, Monash University
7
Working paper / National Bureau of Economic Research, Inc.
7
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Nearly exact Bayesian estimation of non-linear no-arbitrage term-structure models
Pericoli, Marcello
;
Taboga, Marco
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 807-838
Persistent link: https://www.econbiz.de/10013460028
Saved in:
7
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:
8
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
9
Testing for the diffusion matrix in a continuous-time markov process model with applications to the term structure of interest rates
Li, Fuchun
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 789-822
Persistent link: https://www.econbiz.de/10012799048
Saved in:
10
Estimating the term structure with linear regressions : getting to the roots of the problem
Golinski, Adam
;
Spencer, Peter D.
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 960-984
Persistent link: https://www.econbiz.de/10012799057
Saved in:
11
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:
12
Realized variance modeling : decoupling forecasting from estimation
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
- In:
Journal of financial econometrics
18
(
2020
)
3
,
pp. 532-555
Persistent link: https://www.econbiz.de/10012316698
Saved in:
13
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
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