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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Computational economics"
~isPartOf:"Finance research letters"
~isPartOf:"Journal of banking & finance"
~subject:"Multivariate Analyse"
~subject:"Noise Trading"
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Search: subject_exact:"Estimation theory"
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Volatility
Multivariate Analyse
Noise Trading
Estimation theory
455
Schätztheorie
455
Time series analysis
132
Zeitreihenanalyse
132
Estimation
98
Schätzung
96
Volatilität
62
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50
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Teräsvirta, Timo
5
Silvennoinen, Annastiina
3
Christensen, Kim
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Herwartz, Helmut
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Kristensen, Dennis
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Nielsen, Morten Ørregaard
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Podolskij, Mark
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1
Aloy, Marcel
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Amado, Cristina
1
Andersen, Torben
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1
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1
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Demetrescum, Matei
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CREATES research paper
Computational economics
Finance research letters
Journal of banking & finance
Journal of econometrics
135
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Discussion paper / Tinbergen Institute
28
Econometric reviews
25
Economics letters
24
Journal of empirical finance
21
Econometric theory
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Journal of the American Statistical Association : JASA
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of forecasting
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Quantitative finance
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SFB 649 discussion paper
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International journal of theoretical and applied finance
13
Journal of financial econometrics
13
Journal of forecasting
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The econometrics journal
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Econometrics : open access journal
11
Journal of risk and financial management : JRFM
11
The North American journal of economics and finance : a journal of financial economics studies
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KBI
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Working papers
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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
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
NBER Working Paper
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Working paper / Department of Econometrics and Business Statistics, Monash University
8
Applied economics
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Discussion paper / Center for Economic Research, Tilburg University
7
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Discussion papers of interdisciplinary research project 373
7
Insurance / Mathematics & economics
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International journal of financial engineering
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Journal of mathematical finance
7
The European journal of finance
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ECONIS (ZBW)
71
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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
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
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:
4
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
Saved in:
5
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
6
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
7
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
8
S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef
;
Chatrath, Arjun
;
Christie-David, Rohan
- In:
Finance research letters
51
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
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9
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
Saved in:
10
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
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