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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Cointegration"
~subject:"Empirical Characteristic Function"
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Stochastischer Prozess
Volatility
Cointegration
Empirical Characteristic Function
Estimation theory
284
Schätztheorie
284
Time series analysis
55
Zeitreihenanalyse
55
Estimation
51
Schätzung
50
Regression analysis
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Regressionsanalyse
42
Nichtparametrisches Verfahren
35
Nonparametric statistics
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Technische Effizienz
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Mathematical programming
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Heidergott, Bernd
2
Li, Jing
2
Schweikert, Karsten
2
Tsionas, Efthymios G.
2
Abbara, Omar
1
Anatolyev, Stanislav
1
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Banerjee, Anurag Narayan
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Brandão, Luiz Eduardo Teixeira
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Bu, Ruijun
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Chan, Jennifer So Kuen
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1
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Chuffart, Thomas
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Dyer, James S.
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Eliasson, Ann-Charlotte
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Elliott, Robert J.
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European journal of operational research : EJOR
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
198
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric reviews
54
Economics letters
53
Discussion paper / Tinbergen Institute
48
Econometric theory
46
Economic modelling
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CREATES research paper
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Econometrics : open access journal
29
Cowles Foundation discussion paper
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The econometrics journal
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Applied economics letters
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International journal of forecasting
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Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
Quantitative finance
19
Finance research letters
18
Applied economics
17
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
17
International journal of economics and financial issues : IJEFI
17
Journal of financial econometrics
17
Journal of forecasting
17
Discussion papers of interdisciplinary research project 373
16
Journal of banking & finance
16
Journal of risk and financial management : JRFM
16
SFB 649 discussion paper
16
Working paper / Department of Econometrics and Business Statistics, Monash University
16
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
15
International journal of theoretical and applied finance
15
Computational economics
13
Empirical economics : a quarterly journal of the Institute for Advanced Studies
13
The North American journal of economics and finance : a journal of financial economics studies
13
NBER Working Paper
12
Working paper
12
Cowles Foundation Discussion Paper
11
International journal of economics and finance
11
Journal of time series econometrics
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ECONIS (ZBW)
47
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1
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
2
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
3
Joint production in stochastic non-parametric envelopment of data with firm-specific directions
Tsionas, Efthymios G.
- In:
European journal of operational research : EJOR
307
(
2023
)
3
,
pp. 1336-1347
Persistent link: https://www.econbiz.de/10014282988
Saved in:
4
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
5
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
6
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
7
Stochastic derivative estimation for max-stable random fields
Koch, Erwan
;
Robert, Christian Yann
- In:
European journal of operational research : EJOR
302
(
2022
)
2
,
pp. 575-588
Persistent link: https://www.econbiz.de/10013270124
Saved in:
8
Buffered vector error-correction models : an application to the U.S. Treasury bond rates
Lu, Renjie
;
Yu, Philip L. H.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
5
,
pp. 267-287
Persistent link: https://www.econbiz.de/10012806530
Saved in:
9
Multiple structural breaks in cointegrating regressions : a model selection approach
Schmidt, Alexander
;
Schweikert, Karsten
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 219-254
Persistent link: https://www.econbiz.de/10013334688
Saved in:
10
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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