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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"ARCH model"
~subject:"Estimation"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
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Volatility
ARCH model
Estimation
Marktmikrostruktur
Stochastischer Prozess
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Schätzung
15
ARCH-Modell
11
Market microstructure
10
Capital income
9
Kapitaleinkommen
9
Nichtparametrisches Verfahren
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Nonparametric statistics
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33
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34
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Audrino, Francesco
2
Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
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1
Bos, Charles S.
1
Bu, Ruijun
1
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1
Cappiello, Lorenzo
1
Carrasco, Marine
1
Chen, Yi-ting
1
Christoffersen, Peter F.
1
Conrad, Christian A.
1
Di, Jianing
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Feng, Dingan
1
Frederiksen, Per
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Giet, Ludovic
1
Gérard, Bruno
1
Haag, Berthold R.
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Hadri, Kaddour
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Ikeda, Shin S.
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Janus, Paweł
1
Jeisman, J. I.
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Jiang, George J.
1
Kadareja, Arjan
1
Koopman, Siem Jan
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
333
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
169
Economics letters
148
Econometric reviews
87
Econometric theory
79
Discussion paper / Tinbergen Institute
69
Economic modelling
67
Applied economics letters
63
Discussion paper series / IZA
58
NBER Working Paper
57
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
56
Applied economics
53
NBER working paper series
51
CEMMAP working papers / Centre for Microdata Methods and Practice
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
The econometrics journal
48
CREATES research paper
46
Journal of applied econometrics
44
Working paper / Department of Econometrics and Business Statistics, Monash University
43
Journal of empirical finance
42
Working paper
40
Journal of banking & finance
39
Working paper / National Bureau of Economic Research, Inc.
39
International journal of forecasting
37
Quantitative economics : QE ; journal of the Econometric Society
36
Journal of forecasting
34
CESifo working papers
33
Computational economics
33
Econometrics : open access journal
33
IZA Discussion Paper
33
Discussion paper
32
Journal of the American Statistical Association : JASA
32
Discussion papers / CEPR
31
European journal of operational research : EJOR
31
SFB 649 discussion paper
31
Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
28
Finance research letters
28
International journal of economics and financial issues : IJEFI
27
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11
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:
12
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:
13
Measuring comovements by regression quantiles
Cappiello, Lorenzo
;
Gérard, Bruno
;
Kadareja, Arjan
; …
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 645-678
Persistent link: https://www.econbiz.de/10010512287
Saved in:
14
Estimation of distortion risk measures
Tsukahara, Hideatsu
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
Saved in:
15
On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman
;
Velasco, Carlos
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
Saved in:
16
One-step semiparametric estimation of the GARCH model
Di, Jianing
;
Gangopadhyay, Ashis
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10010351543
Saved in:
17
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
18
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
19
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
20
Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations
Bu, Ruijun
;
Giet, Ludovic
;
Hadri, Kaddour
;
Lubrano, Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 198-236
Persistent link: https://www.econbiz.de/10009125140
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