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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Correlation"
~subject:"Forecasting model"
~subject:"Statistical test"
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Volatility
Correlation
Forecasting model
Statistical test
Estimation theory
73
Schätztheorie
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Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
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Audrino, Francesco
2
Chen, Yi-ting
2
Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Andreou, Alena
1
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1
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1
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1
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1
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1
Fan, Yingying
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Frederiksen, Per
1
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1
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1
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1
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Moura, Guilherme Valle
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
351
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
137
International journal of forecasting
118
Economics letters
103
Econometric reviews
89
Journal of forecasting
77
Econometric theory
76
The econometrics journal
63
Discussion paper / Tinbergen Institute
59
CEMMAP working papers / Centre for Microdata Methods and Practice
55
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
42
Journal of empirical finance
41
Journal of the American Statistical Association : JASA
41
Cowles Foundation discussion paper
40
Econometrics : open access journal
39
Working paper / Department of Econometrics and Business Statistics, Monash University
38
Economic modelling
37
CREATES research paper
36
Applied economics letters
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
Journal of financial econometrics
31
Finance research letters
30
Cowles Foundation Discussion Paper
29
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Journal of banking & finance
27
Working paper
27
Cambridge working papers in economics
25
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
25
NBER Working Paper
25
Quantitative finance
25
Computational economics
24
SFB 649 discussion paper
24
European journal of operational research : EJOR
22
Applied economics
21
Discussion paper
21
Discussion paper / Center for Economic Research, Tilburg University
21
Quantitative economics : QE ; journal of the Econometric Society
21
NBER working paper series
20
Insurance / Mathematics & economics
19
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ECONIS (ZBW)
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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
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
3
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:
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
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
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:
8
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:
9
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:
10
Accurate methods for approximate Bayesian Computation Filtering
Calvet, Laurent E.
;
Czellar, Veronika
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 798-838
Persistent link: https://www.econbiz.de/10011417791
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