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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:"Working papers"
~subject:"ARCH-Modell"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
1,142
Schätztheorie
1,142
Theorie
391
Theory
391
Time series analysis
184
Zeitreihenanalyse
184
Estimation
142
Schätzung
139
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120
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Shin, Dong-wan
4
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2
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Moura, Guilherme Valle
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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
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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
Di, Jianing
1
Dias, Gustavo Fruet
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Computational economics
Economics letters
Working papers
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Econometric reviews
32
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
The econometrics journal
20
Economic modelling
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
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
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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
Econometrics : open access journal
12
Journal of mathematical finance
11
Journal of time series econometrics
11
Applied economics letters
10
The European journal of finance
9
Finance and stochastics
8
The journal of risk model validation
8
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
Applied financial economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
International journal of financial engineering
6
Annals of financial economics
5
Asia-Pacific financial markets
5
CBN journal of applied statistics
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ECONIS (ZBW)
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1
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:
2
Consistent estimation of drift parameter in diffusion model with misspecified volatility function
Jeong, Minsoo
- In:
Economics letters
211
(
2022
),
pp. 1-4
Persistent link: https://www.econbiz.de/10013172040
Saved in:
3
A new estimator of a jump discontinuity in regression
Martins-Filho, Carlos
;
Xie, Sihong
;
Yao, Feng
- In:
Economics letters
218
(
2022
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013466389
Saved in:
4
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
5
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
6
A residual-based test for multivariate GARCH models using transformed quadratic residuals
Ke, Rui
;
Jia, Jing
;
Tan, Changchun
- In:
Economics letters
206
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012886565
Saved in:
7
Estimation of STAR-GARCH models with iteratively weighted least squares
Midiliç, Murat
- In:
Computational economics
55
(
2020
)
1
,
pp. 87-117
Persistent link: https://www.econbiz.de/10012222593
Saved in:
8
A perturbation method to optimize the parameters of autoregressive conditional heteroscedasticity model
Feng, Xuejie
;
Zhang, Chiping
- In:
Computational economics
55
(
2020
)
3
,
pp. 1021-1044
Persistent link: https://www.econbiz.de/10012223692
Saved in:
9
Computationally efficient inference in large Bayesian mixed frequency VARs
Gefang, Deborah
;
Koop, Gary
;
Poon, Aubrey
- In:
Economics letters
191
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012508486
Saved in:
10
A self-normalization test for correlation change
Choi, Ji-Eun
;
Shin, Dong-wan
- In:
Economics letters
193
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012509218
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