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subject:"United States"
subject:"Volatility"
~isPartOf:"Econometric theory"
~subject:"ARCH model"
~subject:"Heteroskedastizität"
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Search: subject_exact:"Estimation theory"
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United States
Volatility
ARCH model
Heteroskedastizität
Estimation theory
724
Schätztheorie
724
Theorie
285
Theory
285
Time series analysis
159
Zeitreihenanalyse
159
Nichtparametrisches Verfahren
103
Nonparametric statistics
103
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91
Regressionsanalyse
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42
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35
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31
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24
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24
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24
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24
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22
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21
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15
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15
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Linton, Oliver
6
Chan, Ngai Hang
4
Francq, Christian
3
Horváth, Lajos
3
Kokoszka, Piotr
3
Berkes, István
2
Jin, Sainan
2
Kristensen, Dennis
2
Li, Jia
2
Park, Joon Y.
2
Peng, Liang
2
Phillips, Peter C. B.
2
Saikkonen, Pentti
2
Vogelsang, Timothy J.
2
Yang, Lijian
2
Zaffaroni, Paolo
2
Zakoïan, Jean-Michel
2
Zhang, Rongmao
2
Andrews, Beth
1
Avarucci, Marco
1
Bauer, Dietmar
1
Beutner, Eric
1
Camponovo, Lorenzo
1
Cavaliere, Giuseppe
1
Chambers, Marcus J.
1
Chan, Kung-sik
1
Chao, John C.
1
Chen, Xiaohong
1
Cho, Jin Seo
1
Comte, Fabienne
1
Dedecker, J.
1
Distaso, Walter
1
Feng, Yuanhua
1
Furno, Marilena
1
Gao, Feng
1
Ghysels, Eric
1
Giraitis, Liudas
1
Gonçalves, Sílvia
1
Hafner, Christian M.
1
Hahn, Sang B.
1
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Econometric theory
Journal of econometrics
204
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
158
Economics letters
70
Econometric reviews
51
The review of economics and statistics
46
Discussion paper / Tinbergen Institute
42
Working paper / National Bureau of Economic Research, Inc.
41
CREATES research paper
35
The econometrics journal
35
Journal of empirical finance
33
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
International journal of forecasting
29
Journal of applied econometrics
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Applied economics
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Economic modelling
23
Journal of forecasting
23
Journal of banking & finance
22
American journal of agricultural economics
20
Applied economics letters
19
Finance research letters
19
NBER working paper series
19
The journal of futures markets
18
Cowles Foundation discussion paper
17
Journal of financial econometrics
17
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
17
Discussion paper series / IZA
16
Econometrics : open access journal
16
Journal of financial and quantitative analysis : JFQA
16
NBER Working Paper
16
Quantitative finance
16
The journal of finance : the journal of the American Finance Association
16
CEMMAP working papers / Centre for Microdata Methods and Practice
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
The review of financial studies
15
International journal of theoretical and applied finance
14
Technical working paper / National Bureau of Economic Research
14
The North American journal of economics and finance : a journal of financial economics studies
14
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ECONIS (ZBW)
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1
Least squares and IVX limit theory in systems of predictive regressions with GARCH innovations
Magdalinos, Tassos
- In:
Econometric theory
38
(
2022
)
5
,
pp. 875-912
Persistent link: https://www.econbiz.de/10013469682
Saved in:
2
Nonstationary linear processes with infinite variance GARCH errors
Zhang, Rongmao
;
Chan, Ngai Hang
- In:
Econometric theory
37
(
2021
)
5
,
pp. 892-925
Persistent link: https://www.econbiz.de/10012656388
Saved in:
3
Estimation of volatility functions in jump diffusions using truncated bipower increments
Kim, Jihyun
;
Park, Joon Y.
;
Wang, Bin
- In:
Econometric theory
37
(
2021
)
5
,
pp. 926-958
Persistent link: https://www.econbiz.de/10012656389
Saved in:
4
Efficient estimation of integrated volatility functionals under general volatility dynamics
Li, Jia
;
Liu, Yunxiao
- In:
Econometric theory
37
(
2021
)
4
,
pp. 664-707
Persistent link: https://www.econbiz.de/10012618196
Saved in:
5
QML inference for volatility models with covariates
Francq, Christian
;
Le Quyen Thieu
- In:
Econometric theory
35
(
2019
)
1
,
pp. 37-72
Persistent link: https://www.econbiz.de/10012146117
Saved in:
6
Characterizations of multinormality and corresponding tests of fit, including for GARCH models
Henze, Norbert
;
Jiménez-Gamero, M. Dolores
;
Meintanis, …
- In:
Econometric theory
35
(
2019
)
3
,
pp. 510-546
Persistent link: https://www.econbiz.de/10012146149
Saved in:
7
Estimating volatility functionals with multiple transactions
Jing, Bingyi
;
Liu, Zhi
;
Kong, Xinbing
- In:
Econometric theory
33
(
2017
)
2
,
pp. 331-365
Persistent link: https://www.econbiz.de/10011665349
Saved in:
8
Efficient estimation of integrated volatility and related processes
Renault, Eric
;
Sarisoy, Cisil
;
Werker, Bas J. M.
- In:
Econometric theory
33
(
2017
)
2
,
pp. 439-478
Persistent link: https://www.econbiz.de/10011665439
Saved in:
9
Residual-based GARCH bootstrap and second order asymptotic refinement
Jeong, Minsoo
- In:
Econometric theory
33
(
2017
)
3
,
pp. 779-790
Persistent link: https://www.econbiz.de/10011810204
Saved in:
10
Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin
;
Kristensen, Dennis
- In:
Econometric theory
32
(
2016
)
4
,
pp. 861-916
Persistent link: https://www.econbiz.de/10011644214
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