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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~source:"econis"
~subject:"Statistical test"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Estimation theory
49
Schätztheorie
49
Estimation
20
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20
Time series analysis
15
Zeitreihenanalyse
15
Volatilität
13
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10
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Article in journal
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Kleibergen, Frank
4
Kong, Lingwei
4
Zhan, Zhaoguo
4
Sancetta, Alessio
3
Khalaf, Lynda
2
Peñaranda, Francisco
2
Zaffaroni, Paolo
2
Babii, Andrii
1
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1
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1
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Journal of financial econometrics
Journal of econometrics
254
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
Econometric reviews
74
Economics letters
66
Econometric theory
56
The econometrics journal
46
Economic modelling
31
Econometrics : open access journal
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of empirical finance
24
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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
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International journal of forecasting
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Applied economics letters
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14
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Journal of time series econometrics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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11
Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of applied econometrics
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European journal of operational research : EJOR
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Finance and stochastics
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The European journal of finance
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International journal of economics and financial issues : IJEFI
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Oxford bulletin of economics and statistics
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Journal of financial economics
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Journal of mathematical finance
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Journal of quantitative economics
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11
Exact inference in long-horizon predictive quantile regressions with an application to stock returns
Gungor, Sermin
;
Luger, Richard
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 746-788
Persistent link: https://www.econbiz.de/10012654991
Saved in:
12
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
13
Comment on: identification robust testing of risk premia in finite samples
Khalaf, Lynda
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 298-302
Persistent link: https://www.econbiz.de/10014314743
Saved in:
14
Discussion of identification robust testing of risk premia in finite samples
Peñaranda, Francisco
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 306-310
Persistent link: https://www.econbiz.de/10014314745
Saved in:
15
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
16
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
17
Volatility prediction using a realized-measure-based component model
Noureldin, Diaa
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 76-104
Persistent link: https://www.econbiz.de/10012878187
Saved in:
18
Statistical inference of spot correlation and spot market beta under infinite variation jumps
Liu, Qiang
;
Liu, Zhi
- In:
Journal of financial econometrics
20
(
2022
)
4
,
pp. 612-654
Persistent link: https://www.econbiz.de/10013349148
Saved in:
19
Bootstrap confidence intervals and hypothesis testing for market information shares
Schweikert, Karsten
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 934-959
Persistent link: https://www.econbiz.de/10012799055
Saved in:
20
Intraday end-of-day volume prediction
Sancetta, Alessio
- In:
Journal of financial econometrics
19
(
2021
)
3
,
pp. 472-495
Persistent link: https://www.econbiz.de/10012654952
Saved in:
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