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subject:"USA"
subject:"Volatilität"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~source:"econis"
~subject:"Risk premium"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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USA
Volatilität
Risk premium
Volatility
Estimation theory
139
Schätztheorie
139
Theorie
53
Theory
53
Time series analysis
37
Zeitreihenanalyse
37
Estimation
29
Schätzung
29
Correlation
12
Korrelation
12
Sampling
12
Stichprobenerhebung
12
Statistical test
11
Statistischer Test
11
United States
11
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Regressionsanalyse
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Risikomaß
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Risikoprämie
7
Risk measure
7
Analysis of variance
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English
32
Author
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Kleibergen, Frank
5
Kong, Lingwei
5
Zhan, Zhaoguo
5
Angrist, Joshua D.
4
Abadie, Alberto
3
Imbens, Guido
2
Khalaf, Lynda
2
Krueger, Alan B.
2
Peñaranda, Francisco
2
Sancetta, Alessio
2
Zaffaroni, Paolo
2
An, Jong beom
1
Baker, Regina
1
Beaulieu, J. Joseph
1
Bound, John
1
Brandt, Michael W.
1
Buccheri, Giuseppe
1
Cipollini, Fabrizio
1
Dahl, Christian M.
1
Diebold, Francis X.
1
Foster, Dean P.
1
Gallo, Giampiero M.
1
García López, José A.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Haveman, Robert H.
1
Hellerstein, Judith K.
1
Hong, Seok Young
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Hung, Mao-Wei
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Iglesias, Emma M.
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Inoue, Atsushi
1
Jaeger, David A.
1
Jiang, Binyan
1
Ko, Yi-Chen
1
Liu, Cheng
1
Liu, Qiang
1
Liu, Zhi
1
Livieri, Giulia
1
Lu, Jin
1
Lucas, André
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Journal of financial econometrics
Technical working paper / National Bureau of Economic Research
Journal of econometrics
146
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
134
The review of economics and statistics
45
Economics letters
43
Working paper / National Bureau of Economic Research, Inc.
42
Discussion paper / Tinbergen Institute
31
Econometric reviews
29
Journal of applied econometrics
27
Journal of empirical finance
26
CREATES research paper
25
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
25
International journal of forecasting
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
NBER working paper series
21
American journal of agricultural economics
20
Journal of banking & finance
20
Econometric theory
19
Applied economics
18
Economic modelling
18
The journal of finance : the journal of the American Finance Association
18
The journal of futures markets
18
Journal of forecasting
17
Journal of financial and quantitative analysis : JFQA
16
Quantitative finance
16
The econometrics journal
16
The review of financial studies
16
Discussion paper / Centre for Economic Policy Research
15
International journal of theoretical and applied finance
15
Finance research letters
14
Journal of macroeconomics
13
NBER Working Paper
13
Discussion paper series / IZA
12
CEMMAP working papers / Centre for Microdata Methods and Practice
11
Discussion paper
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of financial economics
11
Journal of money, credit and banking : JMCB
11
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ECONIS (ZBW)
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1
Identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
Saved in:
2
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
3
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
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