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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Energy economics"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"ARCH model"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Bootstrap approach
ARCH model
Zeitreihenanalyse
Estimation theory
165
Schätztheorie
165
Time series analysis
70
Estimation
59
Schätzung
59
Volatility
32
Volatilität
32
ARCH-Modell
27
Regression analysis
21
Regressionsanalyse
21
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Capital income
16
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16
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16
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15
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82
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Carnero, M. Angeles
2
Enders, Walter
2
Escribano, Álvaro
2
Li, Jing
2
Pérez, Ana
2
Schweikert, Karsten
2
Shin, Yongcheol
2
Sucarrat, Genaro
2
Teräsvirta, Timo
2
Abbara, Omar
1
Alptekin, Aynur
1
Anatolyev, Stanislav
1
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1
Banerjee, Anurag Narayan
1
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1
Bauwens, Luc
1
Bekiros, Stelios
1
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1
Broadstock, David C.
1
Bu, Ruijun
1
Bunn, Derek W.
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Chan, Jennifer So Kuen
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
Effraimidis, Georgios
1
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1
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Energy economics
Journal of financial econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
213
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
Econometric reviews
69
Economics letters
59
International journal of forecasting
44
Econometric theory
42
Journal of time series econometrics
39
Computational economics
30
The econometrics journal
26
Economic modelling
20
Finance research letters
19
Applied economics letters
17
Applied economics
15
Journal of forecasting
15
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
The North American journal of economics and finance : a journal of financial economics studies
14
Journal of risk
12
Journal of empirical finance
11
Journal of quantitative economics
11
Essays in honor of Joon Y. Park : econometric theory
10
European journal of operational research : EJOR
10
Insurance / Mathematics & economics
10
Journal of mathematical finance
8
Discussion paper / Centre for Economic Policy Research
7
Journal of banking & finance
7
Journal of international financial markets, institutions & money
7
Quantitative finance
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
International journal of economics and finance
6
Theoretical economics letters
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Discussion papers / CEPR
5
International journal of production economics
5
Journal of applied econometrics
5
Journal of economic dynamics & control
5
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Regional science & urban economics
5
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ECONIS (ZBW)
82
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
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2
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:
3
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:
4
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:
5
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
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6
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:
7
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
8
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
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9
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:
10
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
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