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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Journal of empirical finance"
~subject:"Nichtparametrisches Verfahren"
~subject:"Statistical test"
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Stochastischer Prozess
Volatility
Nichtparametrisches Verfahren
Statistical test
Estimation theory
77
Schätztheorie
77
Time series analysis
25
Zeitreihenanalyse
25
Estimation
23
Schätzung
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Capital income
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Kristensen, Dennis
2
Abergel, Frédéric
1
Agosto, Arianna
1
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Asai, Manabu
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Astill, Sam
1
Cavaliere, Giuseppe
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1
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1
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Journal of empirical finance
Journal of econometrics
538
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
182
CEMMAP working papers / Centre for Microdata Methods and Practice
159
Econometric theory
157
Econometric reviews
155
Economics letters
153
The econometrics journal
98
Journal of the American Statistical Association : JASA
92
Discussion paper / Tinbergen Institute
75
Cowles Foundation discussion paper
69
Discussion papers of interdisciplinary research project 373
60
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
60
Quantitative economics : QE ; journal of the Econometric Society
59
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
55
Working paper / Department of Econometrics and Business Statistics, Monash University
54
Economic modelling
53
Cowles Foundation Discussion Paper
47
CREATES research paper
45
Discussion paper series / IZA
45
SFB 649 discussion paper
45
European journal of operational research : EJOR
43
Econometrics : open access journal
42
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
41
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
38
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
36
Econometrics papers
35
International journal of forecasting
34
Série des documents de travail / Centre de Recherche en Économie et Statistique
34
Applied economics letters
33
Working paper
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NBER Working Paper
30
Cambridge working papers in economics
29
Discussion paper / Center for Economic Research, Tilburg University
29
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
Journal of applied econometrics
28
Insurance / Mathematics & economics
27
NBER working paper series
27
Computational economics
26
Journal of financial econometrics
26
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ECONIS (ZBW)
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1
Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo
;
Kang, Kyu Ho
- In:
Journal of empirical finance
72
(
2023
),
pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
Saved in:
2
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha
;
Linton, Oliver
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
Saved in:
3
Bond and option prices with permanent shocks
Zoubi, Haitham al-
- In:
Journal of empirical finance
53
(
2019
),
pp. 272-290
Persistent link: https://www.econbiz.de/10012171645
Saved in:
4
Dynamic cross-autocorrelation in stock returns
Kinnunen, Jyri
- In:
Journal of empirical finance
40
(
2017
),
pp. 162-173
Persistent link: https://www.econbiz.de/10011744473
Saved in:
5
Marked Hawkes process modeling of price dynamics and volatility estimation
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Journal of empirical finance
40
(
2017
),
pp. 174-200
Persistent link: https://www.econbiz.de/10011745018
Saved in:
6
Nonparametric estimates of pricing functionals
Marinelli, Carlo
;
D'Addona, Stefano
- In:
Journal of empirical finance
44
(
2017
),
pp. 19-35
Persistent link: https://www.econbiz.de/10011817977
Saved in:
7
Testing against changing correlation
Harvey, Andrew C.
;
Thiele, Stephen
- In:
Journal of empirical finance
38
(
2016
),
pp. 575-589
Persistent link: https://www.econbiz.de/10011663373
Saved in:
8
Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
Saved in:
9
The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric
- In:
Journal of empirical finance
32
(
2015
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
Saved in:
10
Power transformations of absolute returns and long memory estimation
Dalla, Violetta
- In:
Journal of empirical finance
33
(
2015
),
pp. 1-18
Persistent link: https://www.econbiz.de/10011556833
Saved in:
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