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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:"Journal of empirical finance"
~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
212
Schätztheorie
212
Time series analysis
57
Zeitreihenanalyse
57
Estimation
53
Schätzung
53
Volatilität
41
Theorie
34
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34
Nichtparametrisches Verfahren
32
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32
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Linton, Oliver
7
Escanciano, Juan Carlos
2
Francq, Christian
2
Hoderlein, Stefan
2
Horváth, Lajos
2
Jondeau, Eric
2
Kapetanios, George
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Lewbel, Arthur
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Srisuma, Sorawoot
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1
Ahlgren, Niklas
1
Allen, David
1
Amado, Cristina
1
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1
Antell, Jan
1
Asai, Manabu
1
Bailey, Natalia
1
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1
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1
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1
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Bu, Ruijun
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1
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1
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Chen, Jia
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1
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1
Creel, Michael D.
1
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1
D'Addona, Stefano
1
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1
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University of Cambridge / Department of Applied Economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Journal of empirical finance
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Discussion paper / Tinbergen Institute
33
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31
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28
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25
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18
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17
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The North American journal of economics and finance : a journal of financial economics studies
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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
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51
Estimating value at risk and expected shortfall using expectiles
Taylor, James W.
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
2
,
pp. 231-252
Persistent link: https://www.econbiz.de/10003687929
Saved in:
52
Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk
Wu, Wei Biao
;
Yu, Keming
;
Mitra, Gautam
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
2
,
pp. 253-270
Persistent link: https://www.econbiz.de/10003687936
Saved in:
53
Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
Saved in:
54
Bias-reduced estimation of long-memory stochastic volatility
Frederiksen, Per
;
Nielsen, Morten Ørregaard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 496-512
Persistent link: https://www.econbiz.de/10003778957
Saved in:
55
Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin
;
King, Maxwell L.
- In:
Journal of empirical finance
15
(
2008
)
3
,
pp. 549-566
Persistent link: https://www.econbiz.de/10003759632
Saved in:
56
Aggregation of nonparametric estimators for volatility matrix
Fan, Jianqing
;
Fan, Yingying
;
Lv, Jinchi
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
3
,
pp. 321-357
Persistent link: https://www.econbiz.de/10003518410
Saved in:
57
Regime shifts in interest rate volatility
Sun, Licheng
- In:
Journal of empirical finance
12
(
2005
)
3
,
pp. 418-434
Persistent link: https://www.econbiz.de/10002900508
Saved in:
58
The impact of sampling frequency and volatility estimators on change-point tests
Andreou, Alena
;
Ghysels, Eric
- In:
Journal of financial econometrics : official journal of …
2
(
2004
)
2
,
pp. 290-318
Persistent link: https://www.econbiz.de/10002214288
Saved in:
59
Dynamics of trade-by-trade price movements: decomposition and models
Rydberg, Tina Hvild
;
Shephard, Neil G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 2-25
Persistent link: https://www.econbiz.de/10002220788
Saved in:
60
Time inhomogenous multiple volatility modeling
Härdle, Wolfgang
;
Herwartz, Helmut
;
Spokojnyj, Vladimir G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 55-95
Persistent link: https://www.econbiz.de/10002220931
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