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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:"Statistical test"
~subject:"Statistical theory"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Statistical theory
Estimation theory
811
Schätztheorie
811
Theorie
290
Theory
290
Time series analysis
193
Zeitreihenanalyse
193
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172
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148
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Härdle, Wolfgang
6
Spokojnyj, Vladimir G.
5
Ghysels, Eric
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Tjostheim, Dag
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Yang, Lijian
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Chen, Yi-ting
2
Escanciano, Juan Carlos
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Francq, Christian
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Gregory, Allan W.
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Lan, Wei
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Läuter, Henning
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Mykland, Per A.
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Nolte, Ingmar
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Peng, Liang
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Phillips, Peter C. B.
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Shephard, Neil G.
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Silvapulle, Paramsothy
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Teyssière, Gilles
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Andreou, Elena
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Antoine, Bertille
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Asemota, Joseph O.
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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
285
Econometric reviews
100
Economics letters
90
Econometric theory
71
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
65
CEMMAP working papers / Centre for Microdata Methods and Practice
48
Discussion paper / Tinbergen Institute
47
The econometrics journal
46
Cowles Foundation discussion paper
38
Economic modelling
31
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
30
Econometrics : open access journal
28
CREATES research paper
26
Cowles Foundation Discussion Paper
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of empirical finance
24
Journal of financial econometrics
22
Discussion paper / Center for Economic Research, Tilburg University
21
NBER Working Paper
21
Working paper / Department of Econometrics and Business Statistics, Monash University
21
Quantitative economics : QE ; journal of the Econometric Society
20
International journal of forecasting
19
Série des documents de travail / Centre de Recherche en Économie et Statistique
19
Applied economics letters
18
Discussion papers of interdisciplinary research project 373
18
Oxford bulletin of economics and statistics
18
Discussion paper
17
Journal of banking & finance
17
Working paper
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
Finance research letters
16
Journal of the American Statistical Association : JASA
16
CORE discussion paper : DP
15
Cambridge working papers in economics
15
Journal of forecasting
15
SFB 649 discussion paper
15
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ECONIS (ZBW)
169
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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
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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
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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
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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
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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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