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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:"Quantitative 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
174
Schätztheorie
174
Estimation
44
Schätzung
44
Time series analysis
43
Zeitreihenanalyse
43
Volatilität
37
Nichtparametrisches Verfahren
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Nonparametric statistics
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English
63
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Linton, Oliver
6
Escanciano, Juan Carlos
2
Francq, Christian
2
Hoderlein, Stefan
2
Horváth, Lajos
2
Kapetanios, George
2
Lewbel, Arthur
2
Pesaran, M. Hashem
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Srisuma, Sorawoot
2
Zakoïan, Jean-Michel
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Achab, Massil
1
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Bacry, E.
1
Bailey, Natalia
1
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1
Bayer, Christian
1
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1
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1
Bos, Charles S.
1
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1
Bu, Ruijun
1
Caccioli, Fabio
1
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1
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1
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Chi, Xie
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Quantitative finance
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Discussion paper / Tinbergen Institute
33
Economics letters
31
Journal of empirical finance
30
Journal of banking & finance
28
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25
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25
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24
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of theoretical and applied finance
18
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17
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International journal of forecasting
17
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SFB 649 discussion paper
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15
The North American journal of economics and finance : a journal of financial economics studies
15
International journal of economics and financial issues : IJEFI
14
Computational economics
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The econometrics journal
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Econometrics : open access journal
12
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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
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10
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ECONIS (ZBW)
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Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei
;
Ihnatiuk, Vitalii
;
Chen, Yu
;
Lin, Jiahe
; …
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
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
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
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:
5
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:
6
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
Saved in:
9
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:
10
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
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