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subject:"Volatility"
type_genre:"Article in journal"
~person:"Fan, Jianqing"
~person:"Kapetanios, George"
~person:"Todorov, Viktor"
~subject:"IV-Schätzung"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Estimation theory"
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Volatility
IV-Schätzung
Zeitreihenanalyse
Estimation theory
60
Schätztheorie
60
Time series analysis
22
Estimation
20
Schätzung
20
Volatilität
18
Nichtparametrisches Verfahren
17
Nonparametric statistics
17
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Induktive Statistik
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Statistical inference
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Stochastic volatility
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Article in journal
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English
32
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Fan, Jianqing
Kapetanios, George
Todorov, Viktor
Phillips, Peter C. B.
31
Linton, Oliver
19
Leybourne, Stephen James
18
Harvey, Andrew C.
16
Kumar, Dilip
16
Taylor, Robert
16
Teräsvirta, Timo
16
Lütkepohl, Helmut
15
Johansen, Søren
14
Maheswaran, S.
14
Swanson, Norman R.
14
Chambers, Marcus J.
13
Gao, Jiti
13
Hassler, Uwe
13
Perron, Pierre
13
Tauchen, George Eugene
13
Li, Jia
12
Xiao, Zhijie
12
Ghysels, Eric
11
Koop, Gary
11
Koopman, Siem Jan
11
McAleer, Michael
11
Zhu, Ke
11
Baillie, Richard
10
Bauwens, Luc
10
Francq, Christian
10
Hendry, David F.
10
Lucas, André
10
Newey, Whitney K.
10
Robinson, Peter M.
10
Stock, James H.
10
Zakoïan, Jean-Michel
10
Baltagi, Badi H.
9
Franses, Philip Hans
9
Hafner, Christian M.
9
Harvey, David I.
9
Nelson, Daniel B.
9
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Journal of econometrics
15
Journal of the American Statistical Association : JASA
4
Econometric reviews
2
The econometrics journal
2
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
International journal of forecasting
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
L' Actualité économique : revue trimest.
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
32
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1
Forecasting in factor augmented regressions under structural change
Massacci, Daniele
;
Kapetanios, George
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 62-76
Persistent link: https://www.econbiz.de/10014450259
Saved in:
2
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:
3
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:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
6
Time-varying instrumental variable estimation
Giraitis, Liudas
;
Kapetanios, George
;
Marcellino, …
- In:
Journal of econometrics
224
(
2021
)
2
,
pp. 394-415
Persistent link: https://www.econbiz.de/10013275394
Saved in:
7
Factor-adjusted regularized model selection
Fan, Jianqing
;
Ke, Yuan
;
Wang, Kaizheng
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 71-85
Persistent link: https://www.econbiz.de/10012439637
Saved in:
8
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
9
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
10
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
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