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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~accessRights:"restricted"
~isPartOf:"Economics letters"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of risk"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~isPartOf:"Theoretical economics letters"
~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"Correlation"
~subject:"Forecasting model"
~subject:"Prognoseverfahren"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Forecasting model
Prognoseverfahren
Zeitreihenanalyse
Estimation theory
418
Schätztheorie
418
Estimation
130
Schätzung
129
Time series analysis
80
Regression analysis
72
Regressionsanalyse
72
Nichtparametrisches Verfahren
56
Nonparametric statistics
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Panel
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Panel study
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Autocorrelation
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Autokorrelation
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Panel data
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Method of moments
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Hassler, Uwe
3
Kumar, Dilip
2
Kurita, Takamitsu
2
Lee, Hyejin
2
Li, Chen
2
Li, Luyang
2
Meng, Ming
2
Moura, Guilherme Valle
2
Oh, Dong-Yop
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Shin, Dong-wan
2
Wang, Qiao
2
Wang, Shaoping
2
Xu, Ke-Li
2
Yu, Deshui
2
Abdulmuhyi, M. A.
1
Agiakloglou, Christos N.
1
Agrawal, Raj
1
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1
Anatolyev, Stanislav
1
Andrle, Michal
1
Annaert, Jan
1
Antell, Jan
1
Ardia, David
1
Arora, Rohit
1
Auwal, H. M.
1
Baillie, Richard
1
Balasubramanian, G.
1
Bauwens, Luc
1
Berens, Tobias
1
Bhat, Aparna
1
Bielak, Łukasz
1
Bin, Peng
1
Buccheri, Giuseppe
1
Busetti, Fabio
1
Cai, Charlie X.
1
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1
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1
Caivano, Michele
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Economics letters
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of financial econometrics
Journal of risk
Technical working paper / National Bureau of Economic Research
Theoretical economics letters
Working paper / Department of Econometrics and Business Statistics, Monash University
Journal of econometrics
243
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
International journal of forecasting
84
Econometric reviews
63
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Econometric theory
50
Journal of time series econometrics
41
Computational economics
36
Finance research letters
30
Journal of forecasting
27
The econometrics journal
26
Economic modelling
25
Applied economics letters
24
Journal of empirical finance
21
Quantitative finance
19
Journal of quantitative economics
17
The North American journal of economics and finance : a journal of financial economics studies
15
Insurance / Mathematics & economics
14
Applied economics
13
Discussion papers / CEPR
13
Journal of banking & finance
12
European journal of operational research : EJOR
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
Energy economics
10
Journal of mathematical finance
10
Essays in honor of Joon Y. Park : econometric theory
9
Astin bulletin : the journal of the International Actuarial Association
8
Discussion paper / Centre for Economic Policy Research
8
International journal of economics and finance
8
Journal of international financial markets, institutions & money
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of economic dynamics & control
7
Finance and stochastics
6
International journal of production economics
6
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ECONIS (ZBW)
134
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1
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:
2
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
3
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:
4
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:
5
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
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:
6
Modeling realized covariance matrices : a class of hadamard exponential models
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1376-1401
Persistent link: https://www.econbiz.de/10014391463
Saved in:
7
Some identification results in a correlated random coefficients sample selection model
Zhu, Xun
;
Jin, Zequn
- In:
Economics letters
233
(
2023
),
pp. 1-3
Persistent link: https://www.econbiz.de/10014505133
Saved in:
8
A simple nonparametric conditional quantile estimator for time series with thin tails
Wang, Qiao
- In:
Economics letters
232
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014464377
Saved in:
9
Impulse response function analysis for Markov switching VAR models
Cavicchioli, Maddalena
- In:
Economics letters
232
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014464479
Saved in:
10
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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