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isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association"
~subject:"ARCH-Modell"
~subject:"Estimation theory"
~subject:"Statistische Verteilung"
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ARCH-Modell
Estimation theory
Statistische Verteilung
Volatility
564
Volatilität
561
Theorie
174
Theory
174
Estimation
172
Schätzung
172
Capital income
154
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154
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Todorov, Viktor
12
Bollerslev, Tim
9
Andersen, Torben
7
Tauchen, George Eugene
7
Li, Jia
6
Francq, Christian
5
Kim, Donggyu
5
Li, Yingying
5
Meddahi, Nour
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Xiu, Dacheng
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Zakoïan, Jean-Michel
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Aït-Sahalia, Yacine
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Mykland, Per A.
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Patton, Andrew J.
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3
Gonçalves, Sílvia
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Gouriéroux, Christian
3
Hallin, Marc
3
Hansen, Peter Reinhard
3
Jasiak, Joann
3
Koopman, Siem Jan
3
Linton, Oliver
3
Maheu, John M.
3
McAleer, Michael
3
Paolella, Marc S.
3
Park, Joon Y.
3
Swanson, Norman R.
3
Varneskov, Rasmus Tangsgaard
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Wang, Yazhen
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3
Zhu, Ke
3
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2
Andreou, Elena
2
Bandi, Federico M.
2
Boughrara, Adel
2
Bouri, Elie
2
Buccheri, Giuseppe
2
Caporin, Massimiliano
2
Chang, Chia-Lin
2
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Journal of econometrics
Journal of financial econometrics
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Energy economics
217
Finance research letters
138
Economic modelling
122
International review of financial analysis
114
The North American journal of economics and finance : a journal of financial economics studies
110
Applied economics
109
Journal of empirical finance
109
Research in international business and finance
94
International review of economics & finance : IREF
92
Journal of risk and financial management : JRFM
79
Journal of international financial markets, institutions & money
78
Discussion paper / Tinbergen Institute
76
Economics letters
73
International journal of forecasting
73
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72
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
70
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65
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64
Journal of financial econometrics : official journal of the Society for Financial Econometrics
56
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
56
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54
Applied economics letters
52
International Journal of Energy Economics and Policy : IJEEP
49
The journal of futures markets
48
Quantitative finance
45
Econometric Institute research papers
44
The European journal of finance
43
International journal of finance & economics : IJFE
41
Econometric reviews
40
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
39
International journal of economics and financial issues : IJEFI
34
Review of quantitative finance and accounting
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CREATES research paper
33
International journal of theoretical and applied finance
33
Cogent economics & finance
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ECONIS (ZBW)
251
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1
Volatility forecasting with machine learning and intraday commonality
Zhang, Chao
;
Zhang, Yihuang
;
Cucuringu, Mihai
;
Qian, …
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 492-530
Persistent link: https://www.econbiz.de/10014526335
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
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:
4
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:
5
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
6
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:
7
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:
8
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:
9
Fourth moment structure of markov switching multivariate GARCH models
Cavicchioli, Maddalena
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 565-582
Persistent link: https://www.econbiz.de/10012654989
Saved in:
10
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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