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subject:"USA"
subject:"Volatilität"
~isPartOf:"Journal of financial econometrics"
~subject:"Portfolio-Management"
~subject:"Risk premium"
~subject:"Volatility"
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Search: subject_exact:"Estimation theory"
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USA
Volatilität
Portfolio-Management
Risk premium
Volatility
Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
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9
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English
24
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Kleibergen, Frank
5
Kong, Lingwei
5
Zhan, Zhaoguo
5
Khalaf, Lynda
2
Peñaranda, Francisco
2
Sancetta, Alessio
2
Zaffaroni, Paolo
2
Agrawal, Raj
1
Boudt, Kris
1
Buccheri, Giuseppe
1
Casas, Isabel
1
Cipollini, Fabrizio
1
Cornilly, Dries
1
Dahl, Christian M.
1
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1
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1
Gallo, Giampiero M.
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Hong, Seok Young
1
Hung, Mao-Wei
1
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1
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1
Ko, Yi-Chen
1
Ledoit, Olivier
1
Liu, Cheng
1
Liu, Qiang
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
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1
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1
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Journal of financial econometrics
Journal of econometrics
160
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
148
Economics letters
46
The review of economics and statistics
44
Working paper / National Bureau of Economic Research, Inc.
43
Journal of empirical finance
37
Journal of banking & finance
35
Discussion paper / Tinbergen Institute
33
Econometric reviews
31
Finance research letters
30
CREATES research paper
27
Journal of applied econometrics
27
International journal of forecasting
26
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Quantitative finance
24
European journal of operational research : EJOR
22
NBER working paper series
22
International journal of theoretical and applied finance
21
American journal of agricultural economics
20
Applied economics
20
Journal of financial and quantitative analysis : JFQA
20
The journal of finance : the journal of the American Finance Association
20
Econometric theory
19
Economic modelling
19
Journal of forecasting
19
The journal of futures markets
19
Journal of risk
17
The review of financial studies
17
The econometrics journal
16
CEMMAP working papers / Centre for Microdata Methods and Practice
15
Discussion paper / Centre for Economic Policy Research
15
Insurance / Mathematics & economics
15
Journal of risk and financial management : JRFM
15
The European journal of finance
15
Journal of financial economics
14
Computational economics
13
Journal of macroeconomics
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ECONIS (ZBW)
24
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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
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:
3
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:
4
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:
5
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:
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
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:
8
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:
9
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
Saved in:
10
Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
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