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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Applied economics letters"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~subject:"Method of moments"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
Method of moments
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Estimation theory
649
Schätztheorie
649
Theorie
262
Theory
262
Time series analysis
121
Zeitreihenanalyse
121
Estimation
102
Schätzung
102
Nichtparametrisches Verfahren
73
Nonparametric statistics
73
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51
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Panel study
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Statistical theory
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Linton, Oliver
6
Andrews, Donald W. K.
4
Pesaran, M. Hashem
4
Hayakawa, Kazuhiko
3
Engle, Robert F.
2
Escanciano, Juan Carlos
2
Hoderlein, Stefan
2
Kapetanios, George
2
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2
Li, Jia
2
Li, Yingying
2
Mykland, Per A.
2
Srisuma, Sorawoot
2
Tauchen, George Eugene
2
Ahlgren, Niklas
1
Alvarez, Javier
1
Andreou, Alena
1
Antell, Jan
1
Arellano, Manuel
1
Bailey, Natalia
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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Chudik, Alexander
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Colletaz, Gilbert
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Applied economics letters
Cambridge working papers in economics
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Journal of econometrics
228
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
73
Economics letters
63
Econometric reviews
57
CEMMAP working papers / Centre for Microdata Methods and Practice
42
Econometric theory
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Discussion paper / Tinbergen Institute
37
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28
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28
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Finance research letters
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Working paper / Department of Econometrics and Business Statistics, Monash University
17
Journal of financial econometrics
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International journal of forecasting
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International journal of theoretical and applied finance
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Journal of risk and financial management : JRFM
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International journal of economics and financial issues : IJEFI
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Applied economics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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NBER working paper series
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SFB 649 discussion paper
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Journal of financial economics
11
Regional science & urban economics
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1
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
2
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
3
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
4
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
5
Nonparametric Euler equation identification and estimation
Escanciano, Juan Carlos
;
Hoderlein, Stefan
;
Lewbel, Arthur
-
2020
Persistent link: https://www.econbiz.de/10013205434
Saved in:
6
Should (co)jump variation be included in asset allocation?
Chen, Zirong
;
Lin, Haonan
;
Zheng, Xu
- In:
Applied economics letters
29
(
2022
)
20
,
pp. 1868-1875
Persistent link: https://www.econbiz.de/10013412321
Saved in:
7
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
8
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
Saved in:
9
A Monte Carlo synthetic sample based performance evaluation method for covariance matrix estimators
Yuan, Jin
;
Yuan, Xianghui
- In:
Applied economics letters
28
(
2021
)
2
,
pp. 124-128
Persistent link: https://www.econbiz.de/10012415096
Saved in:
10
A GMM estimator asymptotically more efficient than OLS and WLS in the presence of heteroskedasticity of unknown form
Lu, Cuicui
;
Wooldridge, Jeffrey M.
- In:
Applied economics letters
27
(
2020
)
12
,
pp. 997-1001
Persistent link: https://www.econbiz.de/10012267028
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