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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:"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
301
Schätztheorie
301
Time series analysis
97
Zeitreihenanalyse
97
Estimation
69
Schätzung
69
Nichtparametrisches Verfahren
66
Nonparametric statistics
66
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43
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Linton, Oliver
8
Gao, Jiti
5
Cheng, Tingting
3
Kapetanios, George
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Pesaran, M. Hashem
3
Bailey, Natalia
2
Escanciano, Juan Carlos
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Francq, Christian
2
Hoderlein, Stefan
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Horváth, Lajos
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Lewbel, Arthur
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Li, Degui
2
Maneesoonthorn, Worapree
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Martin, Gael M.
2
Srisuma, Sorawoot
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Zakoïan, Jean-Michel
2
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1
Andreou, Alena
1
Antell, Jan
1
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1
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Bu, Ruijun
1
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Christoffersen, Peter F.
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Engle, Robert F.
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Fan, Jianqing
1
Fan, Yingying
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Frazier, David T.
1
Frederiksen, Per
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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
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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International journal of theoretical and applied finance
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CREATES research paper
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Econometric theory
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International journal of forecasting
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Journal of risk and financial management : JRFM
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of economics and financial issues : IJEFI
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11
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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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The European journal of finance
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ECONIS (ZBW)
49
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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
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:
4
Robust estimation of integrated volatility
Li, Zhen
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013206057
Saved in:
5
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:
6
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:
7
Nonparametric Euler equation identification and estimation
Escanciano, Juan Carlos
;
Hoderlein, Stefan
;
Lewbel, Arthur
-
2020
Persistent link: https://www.econbiz.de/10013205434
Saved in:
8
Nonparametric predictive regressions for stock return brediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012698837
Saved in:
9
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:
10
Nonparametric predictive regressions for stock return prediction
Cheng, Tingting
;
Gao, Jiti
;
Linton, Oliver
-
2019
Persistent link: https://www.econbiz.de/10012592220
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