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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Quantitative finance"
~isPartOf:"The econometrics journal"
~subject:"Capital income"
~subject:"Statistische Verteilung"
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Volatility
Capital income
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Estimation theory
599
Schätztheorie
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Time series analysis
143
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143
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141
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Härdle, Wolfgang
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CREATES research paper
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Quantitative finance
The econometrics journal
Journal of econometrics
185
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
76
Economics letters
54
Discussion paper / Tinbergen Institute
45
Insurance / Mathematics & economics
45
Econometric reviews
42
Econometric theory
39
Journal of empirical finance
38
Finance research letters
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Statistics in transition : an international journal of the Polish Statistical Association
24
CEMMAP working papers / Centre for Microdata Methods and Practice
23
International journal of forecasting
23
Journal of banking & finance
23
Journal of risk and financial management : JRFM
22
Journal of financial econometrics
21
Journal of forecasting
21
Discussion paper / Center for Economic Research, Tilburg University
20
Econometrics : open access journal
20
Economic modelling
20
Journal of the American Statistical Association : JASA
19
Computational economics
17
European journal of operational research : EJOR
17
NBER Working Paper
17
International journal of theoretical and applied finance
16
Journal of mathematical finance
16
Journal of risk
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SFB 649 discussion paper
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
16
Discussion papers of interdisciplinary research project 373
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Applied economics
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Risks : open access journal
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Working papers
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1
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
2
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
Saved in:
3
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:
4
Distributional robustness of K-class estimators and the PULSE
Jakobsen, Martin Emil
;
Peters, Jonas
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 404-432
Persistent link: https://www.econbiz.de/10013253842
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5
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
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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
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
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
10
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
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