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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~subject:"Statistische Verteilung"
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Volatility
Statistische Verteilung
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH model
11
ARCH-Modell
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Market microstructure
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Marktmikrostruktur
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Capital income
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Kapitaleinkommen
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Risikomaß
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Risk measure
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Theorie
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Theory
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Correlation
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Forecasting model
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Korrelation
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Regression analysis
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Stochastic process
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Börsenkurs
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Analysis of variance
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Noise Trading
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Statistical test
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Statistischer Test
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Andreou, Alena
1
Balter, Janine
1
Bormann, Carsten
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Chen, Yi-ting
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Li, Yingying
1
Lv, Jinchi
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
Nagakura, Daisuke
1
Nielsen, Morten Ørregaard
1
Nogales, Francisco J.
1
Rodrigues, Paulo M. M.
1
Rubia, Antonio
1
Santos, André A. P.
1
Schaumburg, Julia
1
Schienle, Melanie
1
Spokojnyj, Vladimir G.
1
Suto, Nobuyuki
1
Taniai, Hiroyuki
1
Taniguchi, Masanobu
1
Tsukahara, Hideatsu
1
Usami, Takashi
1
Visser, Marcel P.
1
Watanabe, Toshiaki
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
166
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Economics letters
46
Discussion paper / Tinbergen Institute
44
Insurance / Mathematics & economics
44
Econometric reviews
42
Econometric theory
38
The econometrics journal
26
Journal of empirical finance
25
Statistics in transition : an international journal of the Polish Statistical Association
24
International journal of forecasting
23
CEMMAP working papers / Centre for Microdata Methods and Practice
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Discussion paper / Center for Economic Research, Tilburg University
21
CREATES research paper
19
Econometrics : open access journal
19
Economic modelling
19
Journal of financial econometrics
19
Journal of the American Statistical Association : JASA
19
Journal of banking & finance
18
Quantitative finance
18
Finance research letters
17
Journal of risk and financial management : JRFM
17
Discussion papers of interdisciplinary research project 373
15
European journal of operational research : EJOR
15
International journal of theoretical and applied finance
15
Journal of forecasting
15
SFB 649 discussion paper
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
15
Applied economics
13
Computational economics
13
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of mathematical finance
13
Risks : open access journal
13
Journal of risk
12
NBER Working Paper
12
Statistical papers
12
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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
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
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:
9
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:
10
Modeling maximum entropy distributions for financial returns by moment combination and selection
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 414-455
Persistent link: https://www.econbiz.de/10011339297
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