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subject:"Volatility"
~isPartOf:"Journal of empirical finance"
~subject:"Nichtparametrisches Verfahren"
~subject:"Panel study"
~subject:"Stochastischer Prozess"
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Volatility
Nichtparametrisches Verfahren
Panel study
Stochastischer Prozess
Estimation theory
77
Schätztheorie
77
Time series analysis
25
Zeitreihenanalyse
25
Estimation
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Kristensen, Dennis
2
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Journal of empirical finance
Journal of econometrics
551
Economics letters
196
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
183
CEMMAP working papers / Centre for Microdata Methods and Practice
157
Econometric reviews
156
Econometric theory
142
The econometrics journal
105
Journal of the American Statistical Association : JASA
83
Discussion paper / Tinbergen Institute
78
Discussion paper series / IZA
66
Working paper / Department of Econometrics and Business Statistics, Monash University
63
Discussion papers of interdisciplinary research project 373
55
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
55
Cowles Foundation discussion paper
53
Quantitative economics : QE ; journal of the Econometric Society
51
Economic modelling
50
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
49
CREATES research paper
42
SFB 649 discussion paper
42
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
41
European journal of operational research : EJOR
41
Applied economics letters
39
Econometrics : open access journal
39
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
38
NBER Working Paper
37
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
36
NBER working paper series
35
CESifo working papers
34
Cambridge working papers in economics
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Econometrics papers
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Série des documents de travail / Centre de Recherche en Économie et Statistique
34
Cowles Foundation Discussion Paper
32
Working paper
32
IZA Discussion Paper
30
International journal of forecasting
30
Computational economics
29
Applied economics
28
Journal of applied econometrics
28
Working papers / TSE : WP
28
Discussion paper / Center for Economic Research, Tilburg University
27
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ECONIS (ZBW)
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1
Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo
;
Kang, Kyu Ho
- In:
Journal of empirical finance
72
(
2023
),
pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
Saved in:
2
Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha
;
Linton, Oliver
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014477062
Saved in:
3
Bond and option prices with permanent shocks
Zoubi, Haitham al-
- In:
Journal of empirical finance
53
(
2019
),
pp. 272-290
Persistent link: https://www.econbiz.de/10012171645
Saved in:
4
Dynamic cross-autocorrelation in stock returns
Kinnunen, Jyri
- In:
Journal of empirical finance
40
(
2017
),
pp. 162-173
Persistent link: https://www.econbiz.de/10011744473
Saved in:
5
Marked Hawkes process modeling of price dynamics and volatility estimation
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Journal of empirical finance
40
(
2017
),
pp. 174-200
Persistent link: https://www.econbiz.de/10011745018
Saved in:
6
Nonparametric estimates of pricing functionals
Marinelli, Carlo
;
D'Addona, Stefano
- In:
Journal of empirical finance
44
(
2017
),
pp. 19-35
Persistent link: https://www.econbiz.de/10011817977
Saved in:
7
Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna
;
Cavaliere, Giuseppe
;
Kristensen, Dennis
; …
- In:
Journal of empirical finance
38
(
2016
),
pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
Saved in:
8
The dynamics of squared returns under contemporaneous aggregation of GARCH models
Jondeau, Eric
- In:
Journal of empirical finance
32
(
2015
),
pp. 80-93
Persistent link: https://www.econbiz.de/10011556785
Saved in:
9
Power transformations of absolute returns and long memory estimation
Dalla, Violetta
- In:
Journal of empirical finance
33
(
2015
),
pp. 1-18
Persistent link: https://www.econbiz.de/10011556833
Saved in:
10
Two-step estimation of the volatility functions in diffusion models with empirical applications
Ye, Xu-Guo
;
Lin, Jin-Guan
;
Zhao, Yan-Yong
;
Hao, Hong-Xia
- In:
Journal of empirical finance
33
(
2015
),
pp. 135-159
Persistent link: https://www.econbiz.de/10011556861
Saved in:
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