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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Econometric reviews"
~subject:"ARCH-Modell"
~type_genre:"Bibliografie enthalten"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
446
Schätztheorie
446
Theorie
131
Theory
131
Time series analysis
87
Zeitreihenanalyse
87
Nichtparametrisches Verfahren
86
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57
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Maasoumi, Esfandiar
3
Teräsvirta, Timo
3
McAleer, Michael
2
Amado, Cristina
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Boswijk, Herman Peter
1
Brownlees, Christian
1
Cai, Jun
1
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1
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1
Catani, Paul
1
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1
Chen, Qiang
1
Chua, Chew Lian
1
De Angelis, Luca
1
Fermanian, Jean-David
1
Fornari, Fabio
1
Galbraith, John W.
1
Gu, Wentao
1
Halunga, Andreea G.
1
Hansen, Peter Reinhard
1
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1
Horrace, William C.
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1
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1
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1
Lunde, Asger
1
Marín, J. Miguel
1
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1
Mele, Antonio
1
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Econometric reviews
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
38
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
20
Economic modelling
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International journal of forecasting
18
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International journal of economics and financial issues : IJEFI
13
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13
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The North American journal of economics and finance : a journal of financial economics studies
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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
12
Econometrics : open access journal
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11
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11
Journal of time series econometrics
11
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10
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9
Finance and stochastics
8
The journal of risk model validation
8
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
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6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Empirical economics : a quarterly journal of the Institute for Advanced Studies
6
International journal of financial engineering
6
Annals of financial economics
5
Asia-Pacific financial markets
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CBN journal of applied statistics
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ECONIS (ZBW)
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1
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
De Angelis, Luca
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 725-757
Persistent link: https://www.econbiz.de/10014420355
Saved in:
2
Random autoregressive models : a structured overview
Regis, Marta
;
Serra, Paulo
;
Heuvel, Edwin R. van den
- In:
Econometric reviews
41
(
2022
)
2
,
pp. 207-230
Persistent link: https://www.econbiz.de/10013167604
Saved in:
3
Identification and estimation of panel semiparametric conditional heteroskedastic frontiers with dynamic inefficiency
Cai, Jun
;
Horrace, William C.
;
Lee, Yoonseok
- In:
Econometric reviews
43
(
2024
)
5
,
pp. 238-268
Persistent link: https://www.econbiz.de/10014551521
Saved in:
4
High-dimensional penalized arch processes
Poignard, Benjamin
;
Fermanian, Jean-David
- In:
Econometric reviews
40
(
2021
)
1
,
pp. 86-107
Persistent link: https://www.econbiz.de/10012483797
Saved in:
5
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
6
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
7
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
Saved in:
8
Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao
;
Li, Chenxue
;
Peng, Liang
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 151-169
Persistent link: https://www.econbiz.de/10012180711
Saved in:
9
Bias-corrected realized variance
Yeh, Jin-huei
;
Wang, Jying-Nan
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
Saved in:
10
A nonparametric specification test for the volatility functions of diffusion processes
Chen, Qiang
;
Hu, Meidi
;
Song, Xiaojun
- In:
Econometric reviews
38
(
2019
)
5
,
pp. 557-576
Persistent link: https://www.econbiz.de/10012181335
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