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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"
~subject:"Bootstrap approach"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Volatility
Bootstrap approach
Statistische Verteilung
Estimation theory
331
Schätztheorie
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110
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110
Time series analysis
106
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106
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Nielsen, Morten Ørregaard
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Hounyo, Ulrich
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Härdle, Wolfgang
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Spokojnyj, Vladimir G.
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Teräsvirta, Timo
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Cattaneo, Matias D.
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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
Journal of econometrics
225
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
86
Econometric reviews
60
Economics letters
59
Discussion paper / Tinbergen Institute
54
Econometric theory
50
Insurance / Mathematics & economics
48
CEMMAP working papers / Centre for Microdata Methods and Practice
45
The econometrics journal
38
Journal of the American Statistical Association : JASA
28
Statistics in transition : an international journal of the Polish Statistical Association
28
Economic modelling
26
Journal of empirical finance
26
International journal of forecasting
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Cowles Foundation discussion paper
24
Discussion papers of interdisciplinary research project 373
24
Econometrics : open access journal
23
Discussion paper / Center for Economic Research, Tilburg University
22
European journal of operational research : EJOR
22
Journal of banking & finance
22
Journal of financial econometrics
21
Computational economics
20
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
19
Finance research letters
19
Journal of risk and financial management : JRFM
19
SFB 649 discussion paper
19
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
19
Série des documents de travail / Centre de Recherche en Économie et Statistique
18
Journal of forecasting
17
KBI
17
Risks : open access journal
16
Applied economics
15
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
International journal of theoretical and applied finance
15
Journal of risk
15
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1
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:
2
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:
3
Cluster-robust inference : a guide to empirical practice
MacKinnon, James G.
;
Nielsen, Morten Ørregaard
-
2022
Persistent link: https://www.econbiz.de/10013189456
Saved in:
4
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
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
Saved in:
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
Saved in:
7
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:
8
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:
9
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:
10
Estimating the variance of a combined forecast : bootstrap-based approach
Hounyo, Ulrich
;
Lahiri, Kajal
-
2021
Persistent link: https://www.econbiz.de/10012815973
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