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subject:"Volatility"
~isPartOf:"Journal of econometrics"
~subject:"Großbritannien"
~subject:"Markov-Kette"
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Volatility
Großbritannien
Markov-Kette
Estimation
465
Schätzung
460
Estimation theory
216
Schätztheorie
216
Theorie
166
Theory
166
Time series analysis
115
Zeitreihenanalyse
115
Nichtparametrisches Verfahren
106
Nonparametric statistics
106
Volatilität
102
Panel
93
Panel study
93
Regression analysis
81
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81
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United States
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Capital income
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Stochastic process
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Faktorenanalyse
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Panel data
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Bayes-Statistik
34
Bayesian inference
34
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32
ARCH-Modell
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Statistical test
32
Statistischer Test
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Statistical distribution
29
Statistische Verteilung
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English
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Todorov, Viktor
13
Bollerslev, Tim
8
Tauchen, George Eugene
7
Kim, Donggyu
5
Li, Jia
5
Andersen, Torben
4
Aït-Sahalia, Yacine
4
Francq, Christian
3
McAleer, Michael
3
Park, Joon Y.
3
Patton, Andrew J.
3
Wang, Yazhen
3
Xiu, Dacheng
3
Zakoïan, Jean-Michel
3
Asai, Manabu
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Choi, Yongok
2
Christensen, Kim
2
Creal, Drew
2
Dijk, Dick van
2
Ergemen, Yunus Emre
2
Fan, Jianqing
2
Fernández, Carmen
2
Gallo, Giampiero M.
2
Ghysels, Eric
2
Grynkiv, Iaryna
2
Hallin, Marc
2
Harvey, Andrew C.
2
Kong, Xin-Bing
2
Koop, Gary
2
Li, Yingying
2
Paolella, Marc S.
2
Pesaran, M. Hashem
2
Polak, Pawel
2
Quaedvlieg, Rogier
2
Steel, Mark F. J.
2
Taylor, Robert
2
Thyrsgaard, Martin
2
Valkanov, Rossen I.
2
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Journal of econometrics
Applied economics
258
Discussion paper series / IZA
251
Energy economics
164
Discussion paper / Centre for Economic Policy Research
159
Working paper / National Bureau of Economic Research, Inc.
157
Economic modelling
156
NBER working paper series
148
Finance research letters
138
NBER Working Paper
135
International review of economics & finance : IREF
132
Working paper
131
International review of financial analysis
124
Applied financial economics
120
Applied economics letters
119
CESifo working papers
109
The North American journal of economics and finance : a journal of financial economics studies
109
Journal of international money and finance
102
Journal of banking & finance
100
Journal of empirical finance
95
Economics letters
92
IZA Discussion Paper
92
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
91
Discussion paper
88
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
86
Research in international business and finance
81
Journal of international financial markets, institutions & money
77
The journal of futures markets
77
International journal of finance & economics : IJFE
73
Discussion paper / Tinbergen Institute
71
The European journal of finance
70
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
65
International journal of forecasting
61
Journal of risk and financial management : JRFM
59
Journal of applied econometrics
57
Discussion papers in economics
52
Journal of economic dynamics & control
50
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
48
Journal of financial economics
47
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ECONIS (ZBW)
131
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1
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
2
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
3
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
4
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
5
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
6
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
7
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:
8
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
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
Are bond returns predictable with real-time macro data?
Huang, Dashan
;
Jiang, Fuwei
;
Li, Kunpeng
;
Tong, Guoshi
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014471827
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