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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Finance research letters"
~subject:"Correlation"
~subject:"Theory"
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Volatility
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Estimation theory
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Corsi, Fulvio
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Kim, Tae-hwan
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Finance research letters
Journal of econometrics
516
Economics letters
425
Econometric theory
307
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
261
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
245
Série des documents de travail / Centre de Recherche en Économie et Statistique
159
Econometric reviews
155
Journal of applied econometrics
138
Journal of quantitative economics : official journal of the Indian Econometric Society
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The review of economics and statistics
123
Discussion paper / Tinbergen Institute
105
Oxford bulletin of economics and statistics
104
Working paper / National Bureau of Economic Research, Inc.
88
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85
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83
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
69
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61
International economic review
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Journal of forecasting
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Annales d'économie et de statistique
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Metrika : international journal for theoretical and applied statistics
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American journal of agricultural economics
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SFB 649 discussion paper
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Europäische Hochschulschriften / 5
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Cowles Foundation discussion paper
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Journal of empirical finance
42
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
42
Journal of the Royal Statistical Society
41
Journal of economic dynamics & control
39
Publications de l'Institut de Statistique de l'Université de Paris : analyse factorielle des correspondances continues
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1
Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min
- In:
Finance research letters
63
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
Saved in:
2
Non-linear shrinkage of the price return covariance matrix is far from optimal for portfolio optimization
Bongiorno, Christian
;
Challet, Damien
- In:
Finance research letters
52
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014472232
Saved in:
3
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
Saved in:
4
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
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5
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
6
The Chinese oil futures volatility : evidence from high-low estimator information
Huang, Xiaozhou
;
Wang, Yubao
;
Song, Juan
- In:
Finance research letters
56
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014473684
Saved in:
7
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
8
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
9
S&P volatility, VIX, and asymptotic volatility estimates
Bonaparte, Yosef
;
Chatrath, Arjun
;
Christie-David, Rohan
- In:
Finance research letters
51
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014286751
Saved in:
10
A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns
Shi, Yanlin
- In:
Finance research letters
44
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014494772
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