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isPartOf:"Econometric reviews"
subject:"Zeitreihenanalyse"
~subject:"Modellierung"
~subject:"Volatilität"
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Zeitreihenanalyse
Modellierung
Volatilität
Estimation
145
Schätzung
145
Theorie
73
Theory
73
Estimation theory
57
Schätztheorie
57
Time series analysis
41
Stochastic process
28
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Nichtparametrisches Verfahren
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McAleer, Michael
4
Asai, Manabu
3
Chan, Joshua
3
Eisenstat, Eric
2
Jawadi, Fredj
2
Maasoumi, Esfandiar
2
Meyer, Renate
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
Bermudez, P. de Zea
1
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1
Bewley, Ronald A.
1
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1
Bos, Charles S.
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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Econometric reviews
Applied economics
211
Economic modelling
197
Energy economics
175
Journal of econometrics
175
Applied economics letters
150
Finance research letters
144
International review of economics & finance : IREF
140
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
134
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
123
Working paper
122
Economics letters
121
CESifo working papers
117
International review of financial analysis
115
The North American journal of economics and finance : a journal of financial economics studies
111
International journal of forecasting
104
Journal of banking & finance
98
Journal of empirical finance
97
Discussion paper / Tinbergen Institute
96
Working paper / National Bureau of Economic Research, Inc.
96
Applied financial economics
95
Journal of international money and finance
92
NBER working paper series
91
NBER Working Paper
90
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
88
Journal of international financial markets, institutions & money
80
Research in international business and finance
80
Discussion paper / Centre for Economic Policy Research
70
Journal of applied econometrics
69
Journal of forecasting
69
Journal of risk and financial management : JRFM
68
The journal of futures markets
67
International journal of finance & economics : IJFE
63
Journal of economic dynamics & control
51
The European journal of finance
51
International Journal of Energy Economics and Policy : IJEEP
49
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
49
International journal of economics and financial issues : IJEFI
47
International journal of economics and finance
46
Macroeconomic dynamics
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ECONIS (ZBW)
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11
Model selection in factor-augmented regressions with estimated factors
Djogbenou, Antoine A.
- In:
Econometric reviews
40
(
2021
)
5
,
pp. 470-503
Persistent link: https://www.econbiz.de/10012515615
Saved in:
12
Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
Lee, Tae-hwy
;
Mao, Millie Yi
;
Ullah, Aman
- In:
Econometric reviews
40
(
2021
)
10
,
pp. 905-918
Persistent link: https://www.econbiz.de/10012624564
Saved in:
13
Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
14
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
15
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
16
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
17
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
18
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
Saved in:
19
Alternative diff-in-diffs estimators with several pretreatment periods
Mora Villarrubia, Ricardo
;
Reggio, Iliana
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 465-486
Persistent link: https://www.econbiz.de/10012181322
Saved in:
20
Parameter estimation and inference with spatial lags and cointegration
Mutl, Jan
;
Sögner, Leopold
- In:
Econometric reviews
38
(
2019
)
6
,
pp. 597-635
Persistent link: https://www.econbiz.de/10012181339
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