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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:"International journal of forecasting"
~isPartOf:"Journal of econometrics"
~subject:"Risk measure"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Volatility
Risk measure
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Estimation theory
1,924
Schätztheorie
1,924
Zeitreihenanalyse
405
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404
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404
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404
Nichtparametrisches Verfahren
349
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349
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308
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306
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268
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264
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Todorov, Viktor
10
Francq, Christian
8
Linton, Oliver
7
Tauchen, George Eugene
7
Zakoïan, Jean-Michel
7
Andersen, Torben
6
Li, Jia
6
Li, Yingying
6
Kim, Donggyu
5
Koopman, Siem Jan
5
Mykland, Per A.
5
Zhang, Lan
4
Aït-Sahalia, Yacine
3
Bollerslev, Tim
3
Fan, Jianqing
3
Gouriéroux, Christian
3
Jasiak, Joann
3
Meddahi, Nour
3
Park, Joon Y.
3
Patton, Andrew J.
3
Rodrigues, Paulo M. M.
3
Shephard, Neil G.
3
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3
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3
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3
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3
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2
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2
Clinet, Simon
2
Demetrescu, Matei
2
Engle, Robert F.
2
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2
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2
Gallo, Giampiero M.
2
Ghysels, Eric
2
Grynkiv, Iaryna
2
Hill, Jonathan B.
2
Hoderlein, Stefan
2
Horváth, Lajos
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
International journal of forecasting
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Discussion paper / Tinbergen Institute
33
Economics letters
31
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29
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28
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25
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25
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15
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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
10
Risks : open access journal
10
The journal of risk model validation
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Working papers
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
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195
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1
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:
2
Outlier-robust methods for forecasting realized covariance matrices
Li, Dan
;
Drovandi, Christopher
;
Clements, Adam
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 392-408
Persistent link: https://www.econbiz.de/10014450278
Saved in:
3
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
4
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:
5
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
6
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
7
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
8
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
9
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
10
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim
;
Francq, Christian
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10014471524
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