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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:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Quantitative finance"
~subject:"Forecasting model"
~subject:"Statistical test"
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Search: subject_exact:"Estimation theory"
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Volatility
Forecasting model
Statistical test
Estimation theory
811
Schätztheorie
811
Theorie
290
Theory
290
Time series analysis
193
Zeitreihenanalyse
193
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172
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172
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148
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148
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Härdle, Wolfgang
6
Spokojnyj, Vladimir G.
5
Francq, Christian
3
Ghysels, Eric
3
Lan, Wei
3
Ling, Shiqing
3
Phillips, Peter C. B.
3
Cai, Zongwu
2
Chen, Yi-ting
2
Escanciano, Juan Carlos
2
Hautsch, Nikolaus
2
Herwartz, Helmut
2
Horváth, Lajos
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Jing, Bingyi
2
Koopman, Siem Jan
2
Liu, Guangying
2
Liu, Mengya
2
Läuter, Henning
2
Ma, Yanyuan
2
Mykland, Per A.
2
Nolte, Ingmar
2
Peng, Liang
2
Shephard, Neil G.
2
Su, Liangjun
2
Teyssière, Gilles
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Tjostheim, Dag
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Tsay, Ruey S.
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Tsiotas, Georgios
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Yang, Lijian
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Yang, Xiye
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Zakoïan, Jean-Michel
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Zhu, Fukang
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Adeoye, Babatunde W.
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Alena
1
Andreou, Elena
1
Antoine, Bertille
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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
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Quantitative finance
Journal of econometrics
314
International journal of forecasting
115
Econometric reviews
84
Economics letters
84
Journal of forecasting
73
Econometric theory
66
Discussion paper / Tinbergen Institute
54
The econometrics journal
54
CEMMAP working papers / Centre for Microdata Methods and Practice
49
Cowles Foundation discussion paper
37
Economic modelling
37
Journal of empirical finance
36
CREATES research paper
35
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
34
Working paper / Department of Econometrics and Business Statistics, Monash University
34
Econometrics : open access journal
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
Cowles Foundation Discussion Paper
27
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
26
Journal of the American Statistical Association : JASA
26
Journal of financial econometrics
24
Applied economics letters
23
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Discussion paper
21
Journal of banking & finance
21
Working paper
21
Computational economics
20
Discussion paper / Center for Economic Research, Tilburg University
20
Quantitative economics : QE ; journal of the Econometric Society
20
European journal of operational research : EJOR
19
Finance research letters
19
Insurance / Mathematics & economics
18
Journal of time series econometrics
18
Applied economics
17
Cambridge working papers in economics
17
NBER Working Paper
17
SFB 649 discussion paper
17
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ECONIS (ZBW)
180
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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
Saved in:
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
Tests of equal forecasting accuracy for nested models with estimated CCE factors
Stauskas, Ovidijus
;
Westerlund, Joakim
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
4
,
pp. 1745-1758
Persistent link: https://www.econbiz.de/10013540477
Saved in:
6
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:
7
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:
8
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
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9
Prediction using many samples with models possibly containing partially shared parameters
Zhang, Xinyu
;
Liu, Huihang
;
Wei, Yizheng
;
Ma, Yanyuan
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 187-196
Persistent link: https://www.econbiz.de/10014449883
Saved in:
10
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
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