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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"SFB 649 discussion paper"
~subject:"Monte-Carlo-Simulation"
~subject:"Produktionsfunktion"
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Stochastischer Prozess
Volatility
Monte-Carlo-Simulation
Produktionsfunktion
Estimation theory
321
Schätztheorie
321
Theorie
101
Theory
101
Estimation
86
Schätzung
86
Time series analysis
73
Zeitreihenanalyse
73
Nichtparametrisches Verfahren
59
Nonparametric statistics
59
Regression analysis
47
Regressionsanalyse
47
Volatilität
26
Statistical test
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Statistischer Test
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Reiß, Markus
6
Bibinger, Markus
5
Hautsch, Nikolaus
3
Kappus, Johanna
2
Malec, Peter
2
Sancetta, Alessio
2
Söhl, Jakob
2
Yang, Fuyu
2
Almanidis, Pavlos
1
Altmeyer, Randolf
1
Aquino, Juan Carlos
1
Bocart, Fabian Y. R. P.
1
Brzezinski, Michal
1
Buccheri, Giuseppe
1
Chen, Feng
1
Cho, Cheol-Keun
1
Cipollini, Fabrizio
1
Cromwell, Jeff B.
1
Cui, Guowei
1
Ditzen, Jan
1
Dunsmuir, William T.M.
1
Fernández-Vázquez, Esteban
1
Fingleton, Bernard
1
Gallo, Giampiero M.
1
Giannakas, Kōnstantinos
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Guermat, Cherif
1
Gundlach, Erich
1
Hadri, Kaddour
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Hafner, Christian M.
1
Hong, Seok Young
1
Hong, Y.
1
Huber, Martin
1
Hung, Mao-Wei
1
Hurn, Stan
1
Hämäläinen, Pellervo
1
Inoue, Atsushi
1
Kalckreuth, Ulf von
1
Karagiannēs, Giannēs
1
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Journal of financial econometrics
SFB 649 discussion paper
Journal of econometrics
189
Economics letters
74
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
73
Econometric reviews
54
Discussion paper / Tinbergen Institute
50
European journal of operational research : EJOR
49
Economic modelling
39
Econometric theory
34
Journal of productivity analysis
30
CREATES research paper
28
Computational economics
27
Working paper / National Bureau of Economic Research, Inc.
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
The econometrics journal
25
NBER Working Paper
24
Applied economics
22
Applied economics letters
22
Journal of empirical finance
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
Econometrics : open access journal
21
NBER working paper series
21
International journal of forecasting
20
Finance research letters
19
Quantitative finance
19
International journal of theoretical and applied finance
18
Journal of forecasting
18
Journal of risk and financial management : JRFM
18
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
17
Operations research
16
Série des documents de travail / Centre de Recherche en Économie et Statistique
16
Journal of applied econometrics
15
Journal of banking & finance
15
Cowles Foundation discussion paper
14
Discussion papers of interdisciplinary research project 373
14
Journal of the American Statistical Association : JASA
14
The North American journal of economics and finance : a journal of financial economics studies
14
Working paper
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ECONIS (ZBW)
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
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:
4
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:
5
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:
6
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:
7
A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan
;
Lindsay, Kenneth A.
;
Xu, Lina
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
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
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
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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