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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~accessRights:"free"
~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Quantitative finance"
~subject:"Bootstrap approach"
~subject:"Statistische Verteilung"
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Volatility
Bootstrap approach
Statistische Verteilung
Estimation theory
143
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Time series analysis
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Nielsen, Morten Ørregaard
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CREATES research paper
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Quantitative finance
CEMMAP working papers / Centre for Microdata Methods and Practice
45
Discussion paper / Tinbergen Institute
44
Statistics in transition : an international journal of the Polish Statistical Association
25
Discussion papers of interdisciplinary research project 373
24
Cowles Foundation discussion paper
21
Econometrics : open access journal
21
Journal of risk and financial management : JRFM
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SFB 649 discussion paper
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
19
KBI
17
Discussion paper / Center for Economic Research, Tilburg University
16
Risks : open access journal
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NBER Working Paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Discussion paper series / IZA
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Mathematics Preprint Archive
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International journal of economics and financial issues : IJEFI
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IZA Discussion Paper
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Quantitative economics : QE ; journal of the Econometric Society
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Working paper series / University of Zurich, Department of Economics
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CBN journal of applied statistics
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CESifo working papers
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Discussion paper
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Discussion papers / Department of Economics, University of Copenhagen
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Documento de trabajo
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IES working paper
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NBER technical working paper series
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Research paper series / Swiss Finance Institute
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Bank of Italy Temi di Discussione (Working Paper)
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ECONIS (ZBW)
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Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
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2
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
3
Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189456
Saved in:
4
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
5
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
6
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
7
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
8
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
9
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
10
Estimating the variance of a combined forecast : bootstrap-based approach
Hounyo, Ulrich
;
Lahiri, Kajal
-
2021
Persistent link: https://www.econbiz.de/10012815973
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