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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~subject:"ARCH-Modell"
~subject:"Statistische Verteilung"
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Volatility
ARCH-Modell
Statistische Verteilung
Estimation theory
158
Schätztheorie
158
Theorie
92
Theory
92
Time series analysis
37
Zeitreihenanalyse
37
Nichtparametrisches Verfahren
34
Nonparametric statistics
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Estimation
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Schätzung
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Härdle, Wolfgang
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Journal of econometrics
188
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
Econometric theory
71
Economics letters
57
Discussion paper / Tinbergen Institute
52
Econometric reviews
51
Insurance / Mathematics & economics
45
The econometrics journal
34
Journal of empirical finance
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
CREATES research paper
27
International journal of forecasting
25
Statistics in transition : an international journal of the Polish Statistical Association
25
CEMMAP working papers / Centre for Microdata Methods and Practice
23
Discussion paper / Center for Economic Research, Tilburg University
23
Série des documents de travail / Centre de Recherche en Économie et Statistique
23
Economic modelling
21
Finance research letters
21
Journal of banking & finance
21
Journal of financial econometrics
21
Journal of the American Statistical Association : JASA
21
Econometrics : open access journal
20
Journal of forecasting
20
Journal of risk and financial management : JRFM
19
Applied economics
18
Computational economics
18
Quantitative finance
18
SFB 649 discussion paper
18
Discussion papers of interdisciplinary research project 373
17
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
17
Journal of risk
17
Applied economics letters
16
Journal of mathematical finance
16
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
16
European journal of operational research : EJOR
15
International journal of theoretical and applied finance
15
NBER Working Paper
14
The North American journal of economics and finance : a journal of financial economics studies
14
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ECONIS (ZBW)
39
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1
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
2
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
3
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
4
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
5
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
6
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
7
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
8
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
9
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
10
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
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