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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Computational economics"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Multivariate Analyse"
~subject:"Noise Trading"
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Search: subject_exact:"Estimation theory"
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Volatility
Multivariate Analyse
Noise Trading
Estimation theory
364
Schätztheorie
364
Time series analysis
113
Zeitreihenanalyse
113
Estimation
95
Schätzung
93
Volatilität
52
Regression analysis
47
Regressionsanalyse
47
ARCH model
43
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Abbara, Omar
1
Alexander, Carol
1
Aloy, Marcel
1
Anatolyev, Stanislav
1
Andreou, Alena
1
Balter, Janine
1
Bartolucci, Francesco
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Baruník, Jozef
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Blazsek, Szabolcs
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Bormann, Carsten
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Bu, Ruijun
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
Chevallier, Julien
1
Choudhry, Taufiq
1
Chuffart, Thomas
1
Clements, Adam
1
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1
Daníelsson, Jón
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Computational economics
Journal of banking & finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
135
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Discussion paper / Tinbergen Institute
28
Econometric reviews
25
Economics letters
24
Journal of empirical finance
21
Econometric theory
20
CREATES research paper
19
Journal of the American Statistical Association : JASA
19
Economic modelling
17
International journal of forecasting
16
Quantitative finance
16
SFB 649 discussion paper
14
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of financial econometrics
13
Journal of forecasting
13
The econometrics journal
13
Econometrics : open access journal
11
Journal of risk and financial management : JRFM
11
The North American journal of economics and finance : a journal of financial economics studies
11
KBI
10
Working papers
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
NBER Working Paper
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Applied economics
7
Discussion paper / Center for Economic Research, Tilburg University
7
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Discussion papers of interdisciplinary research project 373
7
Insurance / Mathematics & economics
7
International journal of financial engineering
7
Journal of mathematical finance
7
The European journal of finance
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
5
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:
6
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:
7
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
8
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
9
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
10
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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