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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Computational economics"
~subject:"ARCH model"
~subject:"Nichtparametrisches Verfahren"
~subject:"Panel study"
~subject:"Share price"
~type_genre:"Article in journal"
~type_genre:"Non-commercial literature"
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Volatility
ARCH model
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Estimation theory
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Schätztheorie
240
Time series analysis
64
Zeitreihenanalyse
64
Estimation
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Linton, Oliver
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Computational economics
Journal of econometrics
562
Economics letters
202
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
196
Econometric theory
168
CEMMAP working papers / Centre for Microdata Methods and Practice
152
Econometric reviews
152
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110
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82
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
45
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31
Econometrics papers
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International journal of forecasting
31
Journal of banking & finance
31
Working paper
31
Journal of applied econometrics
30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
27
Journal of risk and financial management : JRFM
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ECONIS (ZBW)
102
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1
Penalized averaging of quantile forecasts from GARCH models with many exogenous predictors
Gooijer, Jan G. de
- In:
Computational economics
62
(
2023
)
1
,
pp. 407-424
Persistent link: https://www.econbiz.de/10014327543
Saved in:
2
CCE estimation of high-dimensional panel data models with interactive fixed effects
Vogt, Michael
;
Walsh, Christopher
;
Linton, Oliver
-
2022
Persistent link: https://www.econbiz.de/10013485021
Saved in:
3
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:
4
Estimating time-varying networks for high-dimensional time series
Chen, Jia
;
Li, Degui
;
Li, Yuning
;
Linton, Oliver
-
2022
-
Version: December 13, 2022
Persistent link: https://www.econbiz.de/10013503856
Saved in:
5
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
6
A unified framework for specification tests of continuous treatment effect models
Huang, Wei
;
Linton, Oliver
;
Zhang, Zheng
-
2021
Persistent link: https://www.econbiz.de/10013254169
Saved in:
7
Score-driven time series models
Harvey, Andrew C.
-
2021
Persistent link: https://www.econbiz.de/10013257426
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8
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
Saved in:
9
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
10
Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing
Omay, Tolga
;
Iren, Perihan
- In:
Computational economics
61
(
2023
)
1
,
pp. 233-265
Persistent link: https://www.econbiz.de/10014228424
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