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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"
~subject:"Multivariate Analyse"
~subject:"Noise Trading"
~subject:"Stochastic process"
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Volatility
Multivariate Analyse
Noise Trading
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Estimation theory
256
Schätztheorie
256
Estimation
62
Time series analysis
62
Zeitreihenanalyse
62
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60
Volatilität
35
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32
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Boubaker, Heni
2
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1
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Computational economics
Journal of banking & finance
Journal of econometrics
155
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Discussion paper / Tinbergen Institute
38
Economics letters
35
Econometric reviews
34
CREATES research paper
30
Econometric theory
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Journal of empirical finance
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Journal of the American Statistical Association : JASA
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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SFB 649 discussion paper
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International journal of forecasting
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European journal of operational research : EJOR
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International journal of theoretical and applied finance
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Journal of financial econometrics
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Journal of risk and financial management : JRFM
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Discussion papers of interdisciplinary research project 373
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Insurance / Mathematics & economics
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The North American journal of economics and finance : a journal of financial economics studies
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KBI
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Mathematics of operations research
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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
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1
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:
2
Data-based automatic discretization of nonparametric distributions
Akira Toda, Alexis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1217-1235
Persistent link: https://www.econbiz.de/10012543278
Saved in:
3
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:
4
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:
5
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:
6
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:
7
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
8
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
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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