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isPartOf:"Applying maximum entropy to econometric problems"
subject:"Monte Carlo simulation"
~isPartOf:"Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Operations research"
~subject:"Dynamic programming"
~subject:"Schätzung"
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Search: subject_exact:"Estimation theory"
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Monte Carlo simulation
Dynamic programming
Schätzung
Estimation theory
152
Schätztheorie
152
Estimation
33
Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Time series analysis
19
Zeitreihenanalyse
19
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Audrino, Francesco
6
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4
Trojani, Fabio
3
Corsi, Fulvio
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Fu, Michael
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Sancetta, Alessio
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Adkins, Lee Chester
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Babii, Andrii
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Baillon, Aurélien
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1
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1
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1
Buccheri, Giuseppe
1
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1
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1
Chun, So Yeon
1
Cillo, Alessandra
1
Colangelo, Dominik
1
Delēs, Manthos D.
1
Du, Yiping
1
Dunsmuir, William T.M.
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Hong, L. Jeff
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Hong, Seok Young
1
Huber, Martin
1
Hung, Mao-Wei
1
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Applying maximum entropy to econometric problems
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
Journal of financial econometrics
Operations research
Journal of econometrics
248
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
155
Economics letters
125
Econometric reviews
76
Applied economics letters
65
Discussion paper series / IZA
65
Economic modelling
64
NBER Working Paper
61
CEMMAP working papers / Centre for Microdata Methods and Practice
58
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
NBER working paper series
55
Discussion paper / Tinbergen Institute
54
Applied economics
53
Working paper / National Bureau of Economic Research, Inc.
45
Working paper / Department of Econometrics and Business Statistics, Monash University
44
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
42
Journal of applied econometrics
41
Working paper
41
The econometrics journal
39
Computational economics
38
Quantitative economics : QE ; journal of the Econometric Society
37
Econometric theory
35
IZA Discussion Paper
35
CESifo working papers
33
Econometrics : open access journal
33
Journal of the American Statistical Association : JASA
31
Discussion paper
30
Discussion papers / CEPR
30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
European journal of operational research : EJOR
27
Journal of banking & finance
27
International journal of forecasting
25
Journal of empirical finance
25
Finance research letters
23
The review of economics and statistics
23
Journal of forecasting
21
CREATES research paper
20
Discussion paper / Centre for Economic Policy Research
20
Journal of economic dynamics & control
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1
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:
2
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:
3
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
4
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:
5
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:
6
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:
7
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
8
High-dimensional granger causality tests with an application to VIX and news
Babii, Andrii
;
Ghysels, Eric
;
Striaukas, Jonas
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 605-635
Persistent link: https://www.econbiz.de/10015045166
Saved in:
9
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
10
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
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