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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working paper"
~subject:"Correlation"
~subject:"Estimation"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
Estimation
Estimation theory
2,071
Schätztheorie
2,071
Theorie
547
Theory
547
Zeitreihenanalyse
380
Time series analysis
379
Nichtparametrisches Verfahren
352
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352
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Todorov, Viktor
10
Linton, Oliver
9
Kapetanios, George
8
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8
Li, Jia
7
Phillips, Peter C. B.
7
Andersen, Torben
6
Fan, Jianqing
6
Francq, Christian
6
Giraitis, Liudas
6
Li, Yingying
6
Mykland, Per A.
6
Pesaran, M. Hashem
6
Zakoïan, Jean-Michel
6
Gao, Jiti
5
Kim, Donggyu
5
Gouriéroux, Christian
4
Hafner, Christian M.
4
Hsiao, Cheng
4
Koop, Gary
4
Koopman, Siem Jan
4
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4
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4
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4
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4
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4
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4
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4
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3
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3
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3
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3
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3
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3
Doppelhofer, Gernot
3
Fan, Yanqin
3
Gallant, A. Ronald
3
Ghysels, Eric
3
Honoré, Peter
3
Jasiak, Joann
3
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of applied econometrics
Journal of econometrics
Working paper
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
174
Economics letters
145
Econometric reviews
75
Applied economics letters
63
Discussion paper series / IZA
61
NBER Working Paper
60
Discussion paper / Tinbergen Institute
59
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59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
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51
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50
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49
Econometric theory
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
The econometrics journal
44
Working paper / Department of Econometrics and Business Statistics, Monash University
43
Journal of banking & finance
41
Journal of the American Statistical Association : JASA
41
Working paper / National Bureau of Economic Research, Inc.
41
Journal of empirical finance
39
CESifo working papers
35
International journal of forecasting
35
Econometrics : open access journal
33
IZA Discussion Paper
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Quantitative economics : QE ; journal of the Econometric Society
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Cambridge working papers in economics
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CREATES research paper
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
Journal of forecasting
29
Computational economics
28
Finance research letters
28
Journal of financial econometrics
26
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
25
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ECONIS (ZBW)
430
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21
Penetrating sporadic return predictability
Tu, Yundong
;
Xie, Xinling
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471472
Saved in:
22
Better bunching, nicer notching
Bertanha, Marinho
;
McCallum, Andrew H.
;
Seegert, Nathan
- In:
Journal of econometrics
237
(
2023
)
2,1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471509
Saved in:
23
Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects
Gorgi, Paolo
;
Koopman, Siem Jan
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014471518
Saved in:
24
A dynamic conditional score model for the log correlation matrix
Hafner, Christian M.
;
Wang, Linqi
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10014471519
Saved in:
25
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
26
A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan
;
Guerrier, Stéphane
;
Scaillet, Olivier
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
Saved in:
27
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
28
Post-processed posteriors for sparse covariances
Lee, Kwangmin
;
Lee, Jaeyong
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014332347
Saved in:
29
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
30
Inference and forecasting for continuous-time integer-valued trawl processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Shephard, Neil G.
; …
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014365470
Saved in:
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