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subject:"Volatilität"
type_genre:"Working Paper"
~isPartOf:"CREATES research paper"
~isPartOf:"Journal of financial econometrics"
~subject:"Monte Carlo simulation"
~subject:"USA"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatilität
Monte Carlo simulation
USA
Estimation theory
185
Schätztheorie
185
Time series analysis
73
Zeitreihenanalyse
73
Estimation
37
Schätzung
37
Volatility
28
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42
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Teräsvirta, Timo
4
Silvennoinen, Annastiina
3
Floor Brix, Anne
2
Kock, Anders Bredahl
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Kristensen, Dennis
2
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2
Lunde, Asger
2
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2
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2
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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
Callot, Laurent A. F.
1
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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
Hounyo, Ulrich
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1
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CREATES research paper
Journal of financial econometrics
Journal of econometrics
172
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
145
Economics letters
63
Working paper / National Bureau of Economic Research, Inc.
51
Discussion paper / Tinbergen Institute
45
Econometric reviews
45
The review of economics and statistics
45
Applied economics
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
Economic modelling
28
International journal of forecasting
28
Econometric theory
27
Journal of applied econometrics
27
Computational economics
25
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
25
The econometrics journal
24
Journal of empirical finance
23
American journal of agricultural economics
22
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Applied economics letters
20
CEMMAP working papers / Centre for Microdata Methods and Practice
20
Journal of forecasting
20
Discussion paper series / IZA
19
Finance research letters
18
Journal of banking & finance
18
Quantitative finance
18
The journal of futures markets
18
International journal of theoretical and applied finance
17
Econometrics : open access journal
16
European journal of operational research : EJOR
16
Journal of financial and quantitative analysis : JFQA
16
Technical working paper / National Bureau of Economic Research
16
The journal of finance : the journal of the American Finance Association
16
The review of financial studies
16
Working paper
16
Journal of the American Statistical Association : JASA
14
Discussion paper / Centre for Economic Policy Research
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ECONIS (ZBW)
42
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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
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:
6
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:
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
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
Saved in:
9
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
10
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
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