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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"The European journal of finance"
~source:"econis"
~subject:"ARCH-Modell"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
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Estimation theory
300
Schätztheorie
300
Time series analysis
95
Zeitreihenanalyse
95
Estimation
57
Schätzung
57
Nichtparametrisches Verfahren
45
Nonparametric statistics
45
Volatilität
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Theorie
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30
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Linton, Oliver
6
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Nielsen, Morten Ørregaard
4
Silvennoinen, Annastiina
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Cavaliere, Giuseppe
2
Escanciano, Juan Carlos
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Francq, Christian
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Horváth, Lajos
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Lewbel, Arthur
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Pedersen, Rasmus Søndergaard
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Rahbek, Anders
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Srisuma, Sorawoot
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Taylor, Robert
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Zakoïan, Jean-Michel
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Ataullah, Ali
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Bu, Ruijun
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Caldeira, João F.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CREATES research paper
Cambridge working papers in economics
The European journal of finance
Journal of econometrics
154
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Econometric theory
49
Economics letters
42
Discussion paper / Tinbergen Institute
39
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35
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
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24
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22
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International journal of forecasting
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16
Journal of risk and financial management : JRFM
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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The North American journal of economics and finance : a journal of financial economics studies
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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
14
International journal of theoretical and applied finance
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SFB 649 discussion paper
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Econometrics : open access journal
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International review of financial analysis
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ECONIS (ZBW)
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
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:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
4
Improving financial volatility nowcasts
Kruse-Becher, Robinson
;
Liu, Yuze
- In:
The European journal of finance
30
(
2024
)
2
,
pp. 101-126
Persistent link: https://www.econbiz.de/10014547345
Saved in:
5
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
6
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
Saved in:
7
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
8
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
9
Score-driven time series models
Harvey, Andrew C.
-
2021
Persistent link: https://www.econbiz.de/10013257426
Saved in:
10
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
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