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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"
~subject:"ARCH model"
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Search: subject_exact:"Estimation theory"
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United States
Volatility
ARCH model
Estimation theory
288
Schätztheorie
288
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123
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Estimation
70
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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
Journal of econometrics
168
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
145
Economics letters
56
Econometric theory
52
The review of economics and statistics
45
Discussion paper / Tinbergen Institute
41
Working paper / National Bureau of Economic Research, Inc.
40
Econometric reviews
37
Journal of empirical finance
33
International journal of forecasting
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Journal of applied econometrics
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Applied economics
24
The econometrics journal
24
Journal of forecasting
23
Journal of banking & finance
22
American journal of agricultural economics
20
Economic modelling
20
Finance research letters
19
The journal of futures markets
18
NBER working paper series
17
Journal of financial and quantitative analysis : JFQA
16
The journal of finance : the journal of the American Finance Association
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Applied economics letters
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Quantitative finance
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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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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Discussion paper / Centre for Economic Policy Research
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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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The North American journal of economics and finance : a journal of financial economics studies
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CEMMAP working papers / Centre for Microdata Methods and Practice
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ECONIS (ZBW)
79
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79
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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
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:
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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