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source:"econis"
~isPartOf:"Journal of financial econometrics"
~subject:"Statistical test"
~subject:"Volatilität"
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Search: subject_exact:"Time series analysis"
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Statistical test
Volatilität
Time series analysis
42
Zeitreihenanalyse
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Volatility
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Estimation
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Babii, Andrii
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Bennedsen, Mikkel
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Bu, Ruijun
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Journal of financial econometrics
Journal of econometrics
156
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
Discussion paper / Tinbergen Institute
80
International journal of forecasting
72
Energy economics
69
Economic modelling
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Economics letters
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Econometric reviews
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Journal of empirical finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of banking & finance
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SFB 649 discussion paper
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The econometrics journal
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Journal of risk and financial management : JRFM
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Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
22
Econometrics : open access journal
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Research in international business and finance
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
20
Journal of economic dynamics & control
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CESifo working papers
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Journal of applied econometrics
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Cambridge working papers in economics
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
17
Journal of time series econometrics
17
Working paper / Department of Econometrics and Business Statistics, Monash University
17
CAMA working paper series
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1
Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.
;
Margaritella, Luca
;
Smeekes, Stephan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
Saved in:
2
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
3
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
4
High-dimensional granger causality tests with an application to VIX and news
Babii, Andrii
;
Ghysels, Eric
;
Striaukas, Jonas
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 605-635
Persistent link: https://www.econbiz.de/10015045166
Saved in:
5
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
6
Testing for regime changes in portfolios with a large number of assets : a robust approach to factor heteroskedasticity
Massacci, Daniele
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 316-367
Persistent link: https://www.econbiz.de/10014314751
Saved in:
7
Forecasting under long memory
Hassler, Uwe
;
Pohle, Marc-Oliver
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 742-778
Persistent link: https://www.econbiz.de/10014314818
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8
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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9
Risk premia and Lévy jumps : theory and evidence
Fallahgoul, Hasan
;
Hugonnier, Julien
;
Mancini, Loriano
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 810-851
Persistent link: https://www.econbiz.de/10014314823
Saved in:
10
The role of jumps in realized volatility modeling and forecasting
Caporin, Massimiliano
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1143-1168
Persistent link: https://www.econbiz.de/10014391446
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