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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of risk"
~subject:"Capital income"
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Search: subject_exact:"Estimation theory"
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Volatility
Capital income
Estimation theory
170
Schätztheorie
170
Forecasting model
75
Prognoseverfahren
75
Time series analysis
63
Zeitreihenanalyse
63
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Taylor, James W.
2
Abraham, Bovas
1
Abramov, Vyacheslav M.
1
Ai, Chunrong
1
Atici, Kazim Baris
1
Auer, Benjamin R.
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1
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1
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1
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Asia-Pacific financial markets
Journal of forecasting
Journal of risk
Journal of econometrics
137
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Economics letters
33
Journal of empirical finance
33
Econometric reviews
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Finance research letters
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Economic modelling
18
Journal of banking & finance
18
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Econometric theory
15
International journal of theoretical and applied finance
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14
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11
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
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Journal of financial and quantitative analysis : JFQA
8
The journal of finance : the journal of the American Finance Association
8
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
European journal of operational research : EJOR
7
International journal of financial engineering
7
Journal of economic dynamics & control
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Applied economics letters
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
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1
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:
2
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
3
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
4
Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng
;
Ai, Chunrong
;
Shi, Yanlong
;
Ying, Tingting
; …
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
Saved in:
5
Optimal forecast error as an unbiased estimator of abnormal return : a proposition
Enginar, Onur
;
Atici, Kazim Baris
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 158-166
Persistent link: https://www.econbiz.de/10012796281
Saved in:
6
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
7
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
8
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
9
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
10
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
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