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~isPartOf:"Journal of econometrics"
~subject:"Zeitreihenanalyse"
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Zeitreihenanalyse
Volatility
321
Volatilität
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Estimation theory
154
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154
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138
Theory
138
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Todorov, Viktor
7
Li, Jia
6
Andersen, Torben
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
5
Bollerslev, Tim
4
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
Barigozzi, Matteo
3
Fan, Jianqing
3
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3
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2
Boswijk, Herman Peter
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Francq, Christian
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Hounyo, Ulrich
2
Li, Guodong
2
Li, Wai Keung
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Liu, Zhi
2
Meddahi, Nour
2
Medeiros, Marcelo C.
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Journal of econometrics
Discussion paper / Tinbergen Institute
80
Energy economics
67
International journal of forecasting
61
Economic modelling
58
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Journal of empirical finance
47
Finance research letters
39
Economics letters
37
Econometric reviews
35
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
35
Journal of forecasting
34
Applied economics
33
The North American journal of economics and finance : a journal of financial economics studies
31
International review of economics & finance : IREF
28
International review of financial analysis
28
Journal of financial econometrics
27
CREATES research paper
26
Working paper
26
Journal of banking & finance
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk and financial management : JRFM
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Research in international business and finance
21
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Journal of economic dynamics & control
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SFB 649 discussion paper
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Applied economics letters
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Econometrics : open access journal
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14
Econometric Institute research papers
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
13
Econometric theory
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
13
Journal of international financial markets, institutions & money
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ECONIS (ZBW)
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1
Trending time-varying coefficient time series models with serially correlated errors
Cai, Zongwu
- In:
Journal of econometrics
136
(
2007
)
1
,
pp. 163-188
Persistent link: https://www.econbiz.de/10003401651
Saved in:
2
A multicointegration model of global climate change
Bruns, Stephan B.
;
Csereklyei, Zsuzsanna
;
Stern, David I.
- In:
Journal of econometrics
214
(
2020
)
1
,
pp. 175-197
Persistent link: https://www.econbiz.de/10012438317
Saved in:
3
Local polynomial estimators of the
volatility
function in nonparametric autoregression
Härdle, Wolfgang
- In:
Journal of econometrics
81
(
1997
)
1
,
pp. 223-242
Persistent link: https://www.econbiz.de/10001336796
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4
The detection and estimation of long memory in stochastic
volatility
Breidt, F. Jay
- In:
Journal of econometrics
83
(
1998
)
1
,
pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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5
Estimating continuous-time stochastic
volatility
models of the short-term interest rate
Andersen, Torben
- In:
Journal of econometrics
77
(
1997
)
2
,
pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
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6
Augmented GARCH (p,q) process and its diffusion limit
Duan, Jin-Chuan
- In:
Journal of econometrics
79
(
1997
)
1
,
pp. 97-127
Persistent link: https://www.econbiz.de/10001220068
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7
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
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8
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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9
Empirical evidence on the importance of aggregation, asymmetry, and jumps for
volatility
prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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10
Frontiers in time series and financial econometrics: An overview
Ling, Shiqing
;
McAleer, Michael
;
Tong, Howell
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 245-250
Persistent link: https://www.econbiz.de/10011503737
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