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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:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~subject:"ARCH-Modell"
~subject:"Share price"
~type:"book"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
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Estimation theory
229
Schätztheorie
229
Time series analysis
78
Zeitreihenanalyse
78
Nichtparametrisches Verfahren
57
Nonparametric statistics
57
Estimation
54
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40
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10
Volatilität
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Maximum likelihood estimation
9
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9
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9
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Linton, Oliver
9
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6
Cheng, Tingting
4
Kapetanios, George
3
Li, Degui
3
Pesaran, M. Hashem
3
Zhang, Xibin
3
Bailey, Natalia
2
Escanciano, Juan Carlos
2
Hoderlein, Stefan
2
Lewbel, Arthur
2
Maneesoonthorn, Worapree
2
Martin, Gael M.
2
Srisuma, Sorawoot
2
Bu, Ruijun
1
Cai, Biqing
1
Chen, Jia
1
Chen, Xiangjin B.
1
Forbes, Catherine Scipione
1
Frazier, David T.
1
Harris, David
1
Harvey, Andrew C.
1
Keith, Jonathan
1
Kew, Hsein
1
King, Maxwell L.
1
Laeven, Roger J. A.
1
Li, Yu-Ning
1
Li, Z. Merrick
1
Li, Zhen
1
Lu, Zu-di
1
Malec, Peter
1
McCabe, Brendon P. M.
1
Naik, Narayan Y.
1
Palumbo, Dario
1
Pourkhanali, Armin
1
Robert, Christian P.
1
Silvapulle, Paramsothy
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Smith, Michael S.
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1
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University of Cambridge / Department of Applied Economics
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Cambridge working papers in economics
Working paper / Department of Econometrics and Business Statistics, Monash University
Discussion paper / Tinbergen Institute
39
CREATES research paper
25
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
SFB 649 discussion paper
14
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10
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9
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9
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
8
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7
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7
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6
GRIPS discussion papers
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Chicago Booth Research Paper
5
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5
Discussion paper / Centre for Economic Forecasting
5
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5
Discussion paper series / LSE Financial Markets Group
5
Discussion papers / CEPR
5
Discussion papers / Department of Economics, University of Copenhagen
5
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ECONIS (ZBW)
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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
Testing and modelling time series with time varying tails
Palumbo, Dario
-
2021
Persistent link: https://www.econbiz.de/10013254110
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
Conditional heteroscedasticity models with time-varying parameters : estimation and asymptotics
Pourkhanali, Armin
;
Keith, Jonathan
;
Zhang, Xibin
-
2020
Persistent link: https://www.econbiz.de/10012697180
Saved in:
7
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
8
Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem
Harris, David
;
Kew, Hsein
;
Taylor, Robert
-
2020
Persistent link: https://www.econbiz.de/10012606901
Saved in:
9
Nonparametric Euler equation identification and estimation
Escanciano, Juan Carlos
;
Hoderlein, Stefan
;
Lewbel, Arthur
-
2020
Persistent link: https://www.econbiz.de/10013205434
Saved in:
10
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
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