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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:"Markov-Kette"
~subject:"Statistische Verteilung"
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Volatility
Markov-Kette
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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Regression analysis
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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
182
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
69
Economics letters
52
Discussion paper / Tinbergen Institute
50
Econometric reviews
46
Insurance / Mathematics & economics
46
Econometric theory
39
The econometrics journal
28
International journal of forecasting
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
Journal of empirical finance
26
Statistics in transition : an international journal of the Polish Statistical Association
24
CEMMAP working papers / Centre for Microdata Methods and Practice
23
Série des documents de travail / Centre de Recherche en Économie et Statistique
22
CREATES research paper
21
Discussion paper / Center for Economic Research, Tilburg University
21
Econometrics : open access journal
21
Journal of forecasting
21
Journal of the American Statistical Association : JASA
21
European journal of operational research : EJOR
20
Journal of financial econometrics
20
Economic modelling
19
Finance research letters
19
Journal of banking & finance
19
Quantitative finance
18
Computational economics
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 and financial management : JRFM
17
Discussion papers of interdisciplinary research project 373
16
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
16
International journal of theoretical and applied finance
15
NBER Working Paper
15
SFB 649 discussion paper
15
Journal of mathematical finance
14
Risks : open access journal
14
Working papers
14
Applied economics
13
Statistical papers
13
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
10
Modeling maximum entropy distributions for financial returns by moment combination and selection
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 414-455
Persistent link: https://www.econbiz.de/10011339297
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