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subject:"United States"
subject:"Volatility"
~isPartOf:"CREATES research paper"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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United States
Volatility
ARCH model
Estimation theory
515
Schätztheorie
515
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145
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107
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107
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Teräsvirta, Timo
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CREATES research paper
Journal of financial econometrics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Working paper / National Bureau of Economic Research, Inc.
Journal of econometrics
168
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
146
Economics letters
56
Econometric theory
53
The review of economics and statistics
46
Discussion paper / Tinbergen Institute
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28
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Journal of applied econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
The econometrics journal
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Applied economics
24
Journal of forecasting
23
Journal of banking & finance
22
American journal of agricultural economics
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Economic modelling
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Finance research letters
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NBER working paper series
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The journal of futures markets
18
Journal of financial and quantitative analysis : JFQA
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Quantitative finance
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The journal of finance : the journal of the American Finance Association
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Applied economics letters
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Série des documents de travail / Centre de Recherche en Économie et Statistique
15
The review of financial studies
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International journal of theoretical and applied finance
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Technical working paper / National Bureau of Economic Research
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Computational economics
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Discussion paper / Centre for Economic Policy Research
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Econometrics : open access journal
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International journal of economics and financial issues : IJEFI
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Journal of risk
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Journal of risk and financial management : JRFM
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SFB 649 discussion paper
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ECONIS (ZBW)
119
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1
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:
2
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:
3
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
4
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
5
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:
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
Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
;
Violante, Francesco
-
2021
Persistent link: https://www.econbiz.de/10012620745
Saved in:
10
Is U.S. real output growth really non-normal? : testing distributional assumptions in time-varying location-scale models
Demetrescu, Matei
;
Kruse-Becher, Robinson
-
2021
Persistent link: https://www.econbiz.de/10012620758
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