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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Finance research letters"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
2,279
Schätztheorie
2,279
Theorie
563
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563
Time series analysis
461
Zeitreihenanalyse
461
Nichtparametrisches Verfahren
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368
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171
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171
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Todorov, Viktor
10
Andersen, Torben
7
Li, Jia
7
Tauchen, George Eugene
7
Kim, Donggyu
6
Francq, Christian
5
Li, Yingying
5
Mykland, Per A.
5
Bollerslev, Tim
4
Wang, Yazhen
4
Zakoïan, Jean-Michel
4
Aït-Sahalia, Yacine
3
Ghysels, Eric
3
Hautsch, Nikolaus
3
Jing, Bingyi
3
Koopman, Siem Jan
3
Meddahi, Nour
3
Park, Joon Y.
3
Potiron, Yoann
3
Shephard, Neil G.
3
Varneskov, Rasmus Tangsgaard
3
Yang, Xiye
3
Zhang, Lan
3
Zhang, Zhiyuan
3
Zu, Yang
3
Andreou, Elena
2
Bandi, Federico M.
2
Bauwens, Luc
2
Bibinger, Markus
2
Boswijk, Herman Peter
2
Clinet, Simon
2
Fan, Jianqing
2
Gallant, A. Ronald
2
Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Hafner, Christian M.
2
Harvey, Andrew C.
2
Jasiak, Joann
2
Kong, Xin-Bing
2
Li, Dong
2
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Finance research letters
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
16
Econometric theory
15
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
The econometrics journal
12
The North American journal of economics and finance : a journal of financial economics studies
11
Econometrics : open access journal
10
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
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
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
6
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6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
The European journal of finance
6
The journal of risk model validation
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
5
Research in international business and finance
5
Applied economics letters
4
Applied financial economics
4
Cogent economics & finance
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
171
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171
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1
An econometric analysis of volatility discovery
Dias, Gustavo Fruet
;
Papailias, Fotis
;
Scherrer, Cristina
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 1095-1106
Persistent link: https://www.econbiz.de/10015053535
Saved in:
2
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
3
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
Saved in:
4
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
5
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
6
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
7
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
8
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
9
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
10
Recurrent neural network based parameter estimation of Hawkes model on high-frequency financial data
Lee, Kyungsub
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014473319
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