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subject:"United States"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~subject:"ARCH model"
~subject:"Portfolio selection"
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Search: subject_exact:"Estimation theory"
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United States
Volatility
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Estimation theory
48
Schätztheorie
48
Estimation
19
Schätzung
19
Time series analysis
14
Zeitreihenanalyse
14
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13
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9
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Sancetta, Alessio
2
Agrawal, Raj
1
Boudt, Kris
1
Buccheri, Giuseppe
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Casas, Isabel
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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1
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1
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1
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1
Jach, Agnieszka
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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1
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1
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Journal of financial econometrics
Journal of econometrics
181
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
156
Economics letters
59
Econometric theory
52
The review of economics and statistics
45
Journal of empirical finance
43
Discussion paper / Tinbergen Institute
42
Working paper / National Bureau of Economic Research, Inc.
41
Econometric reviews
39
CREATES research paper
35
Finance research letters
35
Journal of banking & finance
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
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
Applied economics
26
Journal of forecasting
25
The econometrics journal
25
Quantitative finance
24
Economic modelling
21
European journal of operational research : EJOR
21
International journal of theoretical and applied finance
21
American journal of agricultural economics
20
Journal of financial and quantitative analysis : JFQA
20
Journal of risk
20
NBER working paper series
19
The journal of futures markets
19
Journal of risk and financial management : JRFM
18
Série des documents de travail / Centre de Recherche en Économie et Statistique
18
The journal of finance : the journal of the American Finance Association
18
Computational economics
17
The European journal of finance
17
Applied economics letters
16
CEMMAP working papers / Centre for Microdata Methods and Practice
16
The review of financial studies
16
SFB 649 discussion paper
14
Technical working paper / National Bureau of Economic Research
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ECONIS (ZBW)
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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
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:
4
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:
5
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:
6
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
7
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:
8
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
9
The power of (non-)linear shrinking : a review and guide to covariance matrix estimation
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 187-218
Persistent link: https://www.econbiz.de/10012878194
Saved in:
10
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
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