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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CBN journal of applied statistics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Quantitative finance"
~subject:"Statistical test"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Estimation theory
940
Schätztheorie
940
Theorie
302
Theory
302
Time series analysis
208
Zeitreihenanalyse
208
Nichtparametrisches Verfahren
191
Nonparametric statistics
191
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187
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187
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158
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158
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104
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Härdle, Wolfgang
11
Spokojnyj, Vladimir G.
8
Läuter, Henning
4
Ghysels, Eric
3
Herwartz, Helmut
3
Teyssière, Gilles
3
Yang, Lijian
3
Chen, Yi-ting
2
Dankenbring, Henning
2
Delecroix, Michel
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Escanciano, Juan Carlos
2
Francq, Christian
2
Hafner, Christian M.
2
Hautsch, Nikolaus
2
Horowitz, Joel
2
Jing, Bingyi
2
Kleinow, Torsten
2
Koopman, Siem Jan
2
Lan, Wei
2
Ling, Shiqing
2
Liu, Guangying
2
Mykland, Per A.
2
Nolte, Ingmar
2
Park, Byeong U.
2
Peng, Liang
2
Phillips, Peter C. B.
2
Protopopescu, Camelia
2
Rieder, Helmut
2
Sachsenweger, Cornelia
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Shephard, Neil G.
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Tjostheim, Dag
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Tsai, Chih-Ling
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Tsay, Ruey S.
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Yang, Xiye
2
Adeoye, Babatunde W.
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
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1
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1
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
14
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CBN journal of applied statistics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Discussion papers of interdisciplinary research project 373
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Quantitative finance
Journal of econometrics
258
Econometric reviews
76
Economics letters
67
Econometric theory
56
CEMMAP working papers / Centre for Microdata Methods and Practice
48
The econometrics journal
45
Discussion paper / Tinbergen Institute
40
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33
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
27
CREATES research paper
26
Econometrics : open access journal
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Cowles Foundation Discussion Paper
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Journal of empirical finance
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Journal of financial econometrics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
21
Quantitative economics : QE ; journal of the Econometric Society
20
International journal of forecasting
19
Applied economics letters
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Journal of banking & finance
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Cambridge working papers in economics
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Discussion paper / Center for Economic Research, Tilburg University
15
Finance research letters
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SFB 649 discussion paper
15
Working paper
15
Working paper / Department of Econometrics and Business Statistics, Monash University
15
Journal of forecasting
14
Journal of the American Statistical Association : JASA
14
Discussion paper
13
International journal of theoretical and applied finance
13
Journal of time series econometrics
13
NBER Working Paper
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CEMFI working paper
12
Computational economics
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ECONIS (ZBW)
154
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1
Combining p-values for multivariate predictive ability testing
Spreng, Lars
;
Urga, Giovanni
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 765-777
Persistent link: https://www.econbiz.de/10014448433
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2
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
3
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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4
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
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
Likelihood ratio tests for lorenz dominance
Chang, Shen-Da
;
Cheng, Philip E.
;
Liou, Michelle
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 64-75
Persistent link: https://www.econbiz.de/10014449827
Saved in:
8
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:
9
Identification-robust inference with simulation-based pseudo-matching
Antoine, Bertille
;
Khalaf, Lynda
;
Kichian, Maral
;
Lin, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 321-338
Persistent link: https://www.econbiz.de/10014448156
Saved in:
10
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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