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isPartOf:"Journal of 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"
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ARCH-Modell
Estimation theory
Volatility
493
Volatilität
490
Theorie
148
Theory
148
Estimation
141
Schätzung
141
Börsenkurs
127
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127
Capital income
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Todorov, Viktor
10
Andersen, Torben
7
Bollerslev, Tim
7
Tauchen, George Eugene
7
Li, Jia
6
Kim, Donggyu
5
Li, Yingying
5
Meddahi, Nour
5
Aït-Sahalia, Yacine
4
Francq, Christian
4
Mykland, Per A.
4
Patton, Andrew J.
4
Xiu, Dacheng
4
Zakoïan, Jean-Michel
4
Barigozzi, Matteo
3
Gonçalves, Sílvia
3
Hallin, Marc
3
Linton, Oliver
3
Paolella, Marc S.
3
Park, Joon Y.
3
Varneskov, Rasmus Tangsgaard
3
Wang, Yazhen
3
Zhang, Lan
3
Zhu, Ke
3
Amengual, Dante
2
Andreou, Elena
2
Boughrara, Adel
2
Bouri, Elie
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
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2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Gupta, Rangan
2
Hafner, Christian M.
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Koopman, Siem Jan
2
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Journal of econometrics
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
Energy economics
220
Finance research letters
154
Economic modelling
118
International review of financial analysis
112
Journal of empirical finance
109
Applied economics
107
The North American journal of economics and finance : a journal of financial economics studies
105
International review of economics & finance : IREF
98
Research in international business and finance
94
Journal of international financial markets, institutions & money
74
Journal of risk and financial management : JRFM
73
Discussion paper / Tinbergen Institute
70
Economics letters
70
International journal of forecasting
69
Applied financial economics
64
Journal of banking & finance
63
Journal of forecasting
62
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
Applied economics letters
54
Journal of financial econometrics : official journal of the Society for Financial Econometrics
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
International Journal of Energy Economics and Policy : IJEEP
50
The journal of futures markets
46
International journal of finance & economics : IJFE
44
The European journal of finance
44
Working paper
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Econometric Institute research papers
40
Econometric reviews
39
Quantitative finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
36
International journal of economics and financial issues : IJEFI
35
Journal of financial econometrics
34
Cogent economics & finance
32
International journal of economics and finance
31
CREATES research paper
30
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
30
Review of quantitative finance and accounting
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Pacific-Basin finance journal
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ECONIS (ZBW)
195
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1
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
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
3
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
4
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
5
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
6
On the predictive ability of conditional market skewness
Serna, Gregorio
- In:
The quarterly review of economics and finance : journal …
91
(
2023
),
pp. 186-191
Persistent link: https://www.econbiz.de/10014461560
Saved in:
7
Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
Salisu, Afees A.
;
Gupta, Rangan
;
Bouri, Elie
- In:
The quarterly review of economics and finance : journal …
88
(
2023
),
pp. 303-314
Persistent link: https://www.econbiz.de/10014428077
Saved in:
8
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
9
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
10
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
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