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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Market microstructure"
~subject:"Regression analysis"
~subject:"Stichprobenerhebung"
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Volatility
Market microstructure
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Stichprobenerhebung
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
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ARCH model
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Corsi, Fulvio
2
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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
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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
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1
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
416
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
142
Economics letters
137
Journal of the American Statistical Association : JASA
110
Econometric theory
108
CEMMAP working papers / Centre for Microdata Methods and Practice
102
Econometric reviews
98
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
86
Discussion paper / Tinbergen Institute
73
The econometrics journal
70
Discussion paper series / IZA
52
NBER Working Paper
52
Cowles Foundation discussion paper
48
Discussion papers of interdisciplinary research project 373
47
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
42
Economic modelling
42
Statistics in transition : an international journal of the Polish Statistical Association
41
Econometrics : open access journal
40
European journal of operational research : EJOR
38
NBER working paper series
37
International journal of forecasting
36
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
33
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
33
Discussion paper / Center for Economic Research, Tilburg University
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Working paper / Department of Econometrics and Business Statistics, Monash University
31
CREATES research paper
30
SFB 649 discussion paper
29
Applied economics letters
28
Journal of empirical finance
28
KBI
28
Working paper
28
Working papers / TSE : WP
28
Computational economics
27
IZA Discussion Paper
27
Journal of risk and financial management : JRFM
27
Cowles Foundation Discussion Paper
26
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
25
Journal of applied econometrics
25
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1
Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
Saved in:
2
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:
3
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:
4
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:
5
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:
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
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:
8
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
9
Halbert White jr. Memorial JFEC Lecture : pitfalls and possibilities in predictive regression
Phillips, Peter C. B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 521-555
Persistent link: https://www.econbiz.de/10011339279
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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