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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:"The European journal of finance"
~source:"econis"
~subject:"ARCH-Modell"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
163
Schätztheorie
163
Estimation
39
Schätzung
39
Time series analysis
36
Zeitreihenanalyse
36
Volatilität
27
Correlation
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Korrelation
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Linton, Oliver
3
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
The European journal of finance
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
38
Discussion paper / Tinbergen Institute
37
Econometric reviews
32
Journal of empirical finance
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CREATES research paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of forecasting
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Journal of financial econometrics
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International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
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Journal of risk and financial management : JRFM
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics
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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
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Econometrics : open access journal
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SFB 649 discussion paper
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Computational economics
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Journal of mathematical finance
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Journal of time series econometrics
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Applied economics letters
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CORE discussion papers : DP
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NBER Working Paper
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Working papers
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Finance and stochastics
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Handbook of financial time series
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The journal of risk model validation
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Working paper / Department of Econometrics and Business Statistics, Monash University
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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
Improving financial volatility nowcasts
Kruse-Becher, Robinson
;
Liu, Yuze
- In:
The European journal of finance
30
(
2024
)
2
,
pp. 101-126
Persistent link: https://www.econbiz.de/10014547345
Saved in:
3
Score-driven time series models
Harvey, Andrew C.
-
2021
Persistent link: https://www.econbiz.de/10013257426
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
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
Saved in:
7
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
8
Value-at-Risk dynamics : a copula-VAR approach
De Luca, Giovanni
;
Rivieccio, Giorgia
;
Corsaro, Stefania
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 223-237
Persistent link: https://www.econbiz.de/10012207202
Saved in:
9
A semiparametric intraday GARCH model
Malec, Peter
-
2016
Persistent link: https://www.econbiz.de/10011538851
Saved in:
10
Forecasting implied volatility in foreign exchange markets : a functional time series approach
Kearney, Fearghal
;
Cummins, Mark
;
Murphy, Finbarr
- In:
The European journal of finance
24
(
2018
)
1/3
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012244257
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