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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Computational economics"
~isPartOf:"Economics letters"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Working papers"
~subject:"ARCH-Modell"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
1,826
Schätztheorie
1,826
Theorie
595
Theory
595
Time series analysis
342
Zeitreihenanalyse
342
Estimation
289
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286
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223
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70
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69
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68
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65
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64
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63
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63
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63
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62
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Shin, Dong-wan
4
Engle, Robert F.
3
Francq, Christian
3
Ghysels, Eric
3
Hwang, Eunju
3
Audrino, Francesco
2
Bauwens, Luc
2
Billio, Monica
2
Bollerslev, Tim
2
Casarin, Roberto
2
Dias, Gustavo Fruet
2
Fan, Jianqing
2
Hafner, Christian M.
2
Hautsch, Nikolaus
2
Horváth, Lajos
2
Jing, Bingyi
2
Koopman, Siem Jan
2
Krämer, Walter
2
Leon-Gonzalez, Roberto
2
Ling, Shiqing
2
Moura, Guilherme Valle
2
Mykland, Per A.
2
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2
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2
Trojani, Fabio
2
Tsay, Ruey S.
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2
Zakoïan, Jean-Michel
2
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1
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1
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1
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1
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1
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1
Anatolyev, Stanislav
1
Andersen, Torben
1
Andreou, Alena
1
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1
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1
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1
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Computational economics
Economics letters
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Working papers
Journal of econometrics
141
Econometric theory
49
Discussion paper / Tinbergen Institute
37
Econometric reviews
32
Journal of empirical finance
29
CREATES research paper
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
The econometrics journal
21
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19
Finance research letters
18
International journal of forecasting
18
Journal of banking & finance
17
Journal of financial econometrics
17
Journal of forecasting
16
Quantitative finance
16
Econometrics : open access journal
13
International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
Journal of risk
13
Journal of risk and financial management : JRFM
13
Série des documents de travail / Centre de Recherche en Économie et Statistique
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
SFB 649 discussion paper
12
Journal of mathematical finance
11
Journal of time series econometrics
11
Applied economics letters
10
CORE discussion papers : DP
9
NBER Working Paper
9
The European journal of finance
9
Finance and stochastics
8
Handbook of financial time series
8
The journal of risk model validation
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
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ECONIS (ZBW)
141
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Estimation of nonlinear DSGE models through Laplace based solutions
Baiaman, Elnura
;
Leon-Gonzalez, Roberto
-
2024
Persistent link: https://www.econbiz.de/10015049072
Saved in:
2
An econometric analysis of volatility discovery
Dias, Gustavo Fruet
;
Papailias, Fotis
;
Scherrer, Cristina
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
Saved in:
3
Penalized averaging of quantile forecasts from GARCH models with many exogenous predictors
Gooijer, Jan G. de
- In:
Computational economics
62
(
2023
)
1
,
pp. 407-424
Persistent link: https://www.econbiz.de/10014327543
Saved in:
4
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
5
Exact likelihood for inverse gamma stochastic volatility models
Leon-Gonzalez, Roberto
;
Majoni, Blessings
-
2023
Persistent link: https://www.econbiz.de/10014305848
Saved in:
6
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
Saved in:
7
M-quantile estimation for GARCH models
Patrocinio, Patrick F.
;
Reisen, Valdério Anselmo
; …
- In:
Computational economics
63
(
2024
)
6
,
pp. 2175-2192
Persistent link: https://www.econbiz.de/10014636726
Saved in:
8
Modelling volatility cycles : the (MF)2 GARCH model
Conrad, Christian
;
Engle, Robert F.
-
2021
-
This draft: March 14, 2021
Persistent link: https://www.econbiz.de/10012488645
Saved in:
9
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
10
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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