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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~source:"econis"
~subject:"CAPM"
~subject:"Statistical test"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
CAPM
Statistical test
Estimation theory
49
Schätztheorie
49
Estimation
20
Schätzung
20
Time series analysis
15
Zeitreihenanalyse
15
Volatilität
13
Statistischer Test
10
Correlation
9
Korrelation
9
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8
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7
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Risk measure
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Risk premium
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Analysis of variance
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Induktive Statistik
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Robust statistics
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Robustes Verfahren
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Varianzanalyse
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Article in journal
Aufsatz in Zeitschrift
28
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English
28
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Kleibergen, Frank
5
Kong, Lingwei
5
Zhan, Zhaoguo
5
Sancetta, Alessio
3
Khalaf, Lynda
2
Peñaranda, Francisco
2
Zaffaroni, Paolo
2
Babii, Andrii
1
Boudt, Kris
1
Buccheri, Giuseppe
1
Casas, Isabel
1
Cipollini, Fabrizio
1
Cornilly, Dries
1
Ding, Hao
1
Ferreira, Eva
1
Gagliardini, Patrick
1
Gallo, Giampiero M.
1
Ghysels, Eric
1
Grassi, Stefano
1
Grønneberg, Steffen
1
Gungor, Sermin
1
Guo, Junjie
1
Hecq, Alain W. J.
1
Hong, Seok Young
1
Hu, Jianhua
1
Hung, Mao-Wei
1
Inoue, Atsushi
1
Jiang, Binyan
1
Ko, Yi-Chen
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Liu, Cheng
1
Liu, Qiang
1
Liu, Xiaoqian
1
Liu, Zhi
1
Livieri, Giulia
1
Lu, Jin
1
Lucas, André
1
Luger, Richard
1
Mancino, Maria Elvira
1
Margaritella, Luca
1
Marmi, Stefano
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Journal of financial econometrics
Journal of econometrics
269
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
97
Econometric reviews
75
Economics letters
69
Econometric theory
58
The econometrics journal
47
Economic modelling
32
Journal of empirical finance
29
Econometrics : open access journal
27
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
26
Quantitative economics : QE ; journal of the Econometric Society
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
Finance research letters
21
International journal of forecasting
20
Journal of banking & finance
20
Quantitative finance
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Applied economics letters
18
Journal of financial economics
18
The journal of finance : the journal of the American Finance Association
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
International journal of theoretical and applied finance
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
Journal of the American Statistical Association : JASA
14
Applied economics
13
Journal of time series econometrics
13
Computational economics
12
Journal of applied econometrics
12
The North American journal of economics and finance : a journal of financial economics studies
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
European journal of operational research : EJOR
10
Journal of economic dynamics & control
10
Finance and stochastics
9
Oxford bulletin of economics and statistics
9
The European journal of finance
9
International journal of economics and financial issues : IJEFI
8
International journal of financial engineering
8
Journal of mathematical finance
8
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ECONIS (ZBW)
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1
Identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
Saved in:
2
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
3
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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