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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"ARCH model"
~subject:"Statistical test"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH model
Statistical test
Stochastischer Prozess
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
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ARCH-Modell
11
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Chen, Yi-ting
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Andreou, Alena
1
Audrino, Francesco
1
Balter, Janine
1
Bormann, Carsten
1
Bos, Charles S.
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Bu, Ruijun
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Di, Jianing
1
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1
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1
Feng, Dingan
1
Frederiksen, Per
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Giet, Ludovic
1
Haag, Berthold R.
1
Hadri, Kaddour
1
Hassler, Uwe
1
Herwartz, Helmut
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Hsieh, Chih-sheng
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Hurn, Stan
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Härdle, Wolfgang
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Ikeda, Shin S.
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1
Li, Yingying
1
Lindsay, Kenneth A.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
298
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
102
Econometric theory
100
Econometric reviews
91
Economics letters
88
Discussion paper / Tinbergen Institute
60
The econometrics journal
57
CEMMAP working papers / Centre for Microdata Methods and Practice
49
CREATES research paper
45
Cowles Foundation discussion paper
44
Economic modelling
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
35
Econometrics : open access journal
32
Journal of empirical finance
32
Cowles Foundation Discussion Paper
29
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
29
Journal of financial econometrics
28
Applied economics letters
26
International journal of forecasting
26
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
25
Quantitative economics : QE ; journal of the Econometric Society
25
Finance research letters
24
Journal of forecasting
24
SFB 649 discussion paper
24
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
23
Discussion papers of interdisciplinary research project 373
23
Journal of banking & finance
23
Série des documents de travail / Centre de Recherche en Économie et Statistique
22
Computational economics
21
Journal of time series econometrics
21
Journal of the American Statistical Association : JASA
20
Working paper
20
Discussion paper / Center for Economic Research, Tilburg University
19
European journal of operational research : EJOR
19
Applied economics
18
Journal of risk and financial management : JRFM
18
Quantitative finance
18
Working paper / Department of Econometrics and Business Statistics, Monash University
18
NBER Working Paper
17
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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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