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subject:"Monte-Carlo-Simulation"
subject:"Panel study"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~subject:"ARCH-Modell"
~subject:"Schätzung"
~subject:"United States"
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Search: subject_exact:"Estimation theory"
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Monte-Carlo-Simulation
Panel study
ARCH-Modell
Schätzung
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Estimation theory
40
Schätztheorie
40
Estimation
15
Time series analysis
13
Zeitreihenanalyse
13
Volatility
11
Volatilität
11
ARCH model
8
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Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Casas, Isabel
1
Chen, Feng
1
Dunsmuir, William T.M.
1
Ferreira, Eva
1
Golinski, Adam
1
Grassi, Stefano
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
Jung, Whayoung
1
Karabiyik, Hande
1
Kim, Minjoo
1
Ko, Yi-Chen
1
Lee, Ji Hyung
1
Leng, Xuan
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Xiaohui
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Liu, Zhi
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Lucas, André
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Opschoor, Anne
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Journal of financial econometrics
Journal of econometrics
238
Economics letters
112
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
97
Econometric reviews
94
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Economic modelling
43
Computational economics
36
Applied economics letters
33
Discussion papers / CEPR
33
International journal of forecasting
31
The econometrics journal
30
Applied economics
27
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
25
Empirical economics : a quarterly journal of the Institute for Advanced Studies
25
Finance research letters
23
Econometric theory
21
Discussion paper / Centre for Economic Policy Research
17
Journal of economic dynamics & control
16
European journal of operational research : EJOR
15
Journal of banking & finance
15
Journal of empirical finance
15
Journal of quantitative economics
15
The North American journal of economics and finance : a journal of financial economics studies
15
Energy economics
14
Journal of time series econometrics
14
Journal of applied econometrics
13
Journal of risk
13
Quantitative finance
13
Working paper / National Bureau of Economic Research, Inc.
13
Insurance / Mathematics & economics
12
Journal of econometric methods
12
Regional science & urban economics
12
Journal of forecasting
11
Theoretical economics letters
11
IEA CO2 Emissions from Fuel Combustion Statistics: Greenhouse Gas Emissions from Energy
10
Journal of mathematical finance
10
International journal of economics and finance
8
The European journal of finance
8
Journal of international financial markets, institutions & money
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ECONIS (ZBW)
21
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
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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
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
4
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
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:
5
Estimating unobserved soft adjustment in credit rating models : before and after the Dodd-Frank act
Gu, Zhutong
;
Jiang, Yixiao
;
Yang, Shuyang
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1791-1819
Persistent link: https://www.econbiz.de/10014444750
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6
Integrating structural and reduced-form methods in empirical finance
Whited, Toni Marion
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 597-615
Persistent link: https://www.econbiz.de/10014314764
Saved in:
7
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
Saved in:
8
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:
9
Estimating the speed of adjustment of leverage in the presence of interactive effects
Westerlund, Joakim
;
Karabiyik, Hande
;
Narayan, Paresh Kumar
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 942-960
Persistent link: https://www.econbiz.de/10013460044
Saved in:
10
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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