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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of forecasting"
~subject:"Regression analysis"
~subject:"VAR-Modell"
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Search: subject_exact:"Estimation theory"
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Volatility
Regression analysis
VAR-Modell
Estimation theory
190
Schätztheorie
190
Forecasting model
81
Prognoseverfahren
81
Time series analysis
72
Zeitreihenanalyse
72
Theorie
47
Theory
47
Estimation
40
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Volatilität
28
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Article in journal
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English
52
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Sancetta, Alessio
3
Shang, Han Lin
2
Taylor, James W.
2
Abraham, Bovas
1
Abramov, Vyacheslav M.
1
Balakrishna, N.
1
Ben-Zion, Uri
1
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1
Blanco-Fernández, Ángela
1
Bosson Brou, J. M.
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
Chow, Wai Kit
1
Cipollini, Fabrizio
1
Davis, Richard A.
1
Eidestedt, Richard
1
Ekberg, Stefan
1
Fei, Tianlun
1
Filzmoser, Peter
1
Fischer, Henning
1
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1
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1
Gallo, Giampiero M.
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1
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1
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1
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1
Güler, Kemal
1
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1
He, Mengxi
1
Hecq, Alain W. J.
1
Hong, Seok Young
1
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Asia-Pacific financial markets
Journal of financial econometrics
Journal of forecasting
Journal of econometrics
405
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
144
Economics letters
132
Econometric theory
113
Econometric reviews
98
Journal of the American Statistical Association : JASA
93
The econometrics journal
72
Econometrics : open access journal
52
Economic modelling
44
International journal of forecasting
40
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
40
European journal of operational research : EJOR
35
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
Quantitative economics : QE ; journal of the Econometric Society
29
Computational economics
27
Journal of empirical finance
27
Applied economics letters
26
Journal of risk and financial management : JRFM
26
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Journal of applied econometrics
22
Empirical economics : a quarterly journal of the Institute for Advanced Studies
21
Insurance / Mathematics & economics
21
Journal of banking & finance
21
Applied economics
18
Finance research letters
18
Journal of quantitative economics
18
Quantitative finance
18
Journal of econometric methods
15
Journal of economic dynamics & control
15
The North American journal of economics and finance : a journal of financial economics studies
15
International journal of theoretical and applied finance
14
Oxford bulletin of economics and statistics
14
Risks : open access journal
14
Journal of time series econometrics
13
Statistical papers
13
Statistics in transition : an international journal of the Polish Statistical Association
13
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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
Granger causality testing in high-dimensional VARs : a post-double-selection procedure
Hecq, Alain W. J.
;
Margaritella, Luca
;
Smeekes, Stephan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 915-958
Persistent link: https://www.econbiz.de/10014314841
Saved in:
3
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:
4
Mixed-frequency predictive regressions with parameter learning
Leippold, Markus
;
Yang, Hanlin
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1955-1972
Persistent link: https://www.econbiz.de/10014432824
Saved in:
5
Forecasting intraday financial time series with sieve bootstrapping and dynamic updating
Shang, Han Lin
;
Ji, Kaiying
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1973-1988
Persistent link: https://www.econbiz.de/10014432826
Saved in:
6
Forecasting GDP growth : the economic impact of COVID-19 pandemic
Vrontos, Ioannis D.
;
Galakis, John
;
Panopulu, Aikaterinē
; …
- In:
Journal of forecasting
43
(
2024
)
4
,
pp. 1042-1086
Persistent link: https://www.econbiz.de/10014554062
Saved in:
7
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
8
A new test for multiple predictive regression
Xu, Ke-Li
;
Guo, Junjie
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 119-156
Persistent link: https://www.econbiz.de/10014526308
Saved in:
9
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:
10
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
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