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subject:"Volatility"
~isPartOf:"Journal of empirical finance"
~subject:"Nichtparametrisches Verfahren"
~subject:"Panel study"
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Volatility
Nichtparametrisches Verfahren
Panel study
Estimation theory
77
Schätztheorie
77
Time series analysis
25
Zeitreihenanalyse
25
Estimation
23
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Abergel, Frédéric
1
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1
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1
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Journal of empirical finance
Journal of econometrics
531
Economics letters
186
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
178
CEMMAP working papers / Centre for Microdata Methods and Practice
157
Econometric reviews
149
Econometric theory
135
The econometrics journal
102
Journal of the American Statistical Association : JASA
80
Discussion paper / Tinbergen Institute
68
Discussion paper series / IZA
66
Working paper / Department of Econometrics and Business Statistics, Monash University
63
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
53
Discussion papers of interdisciplinary research project 373
49
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
48
Quantitative economics : QE ; journal of the Econometric Society
46
Cowles Foundation discussion paper
44
Economic modelling
41
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
39
SFB 649 discussion paper
39
Applied economics letters
37
Econometrics : open access journal
35
NBER Working Paper
35
CESifo working papers
34
CREATES research paper
34
Cambridge working papers in economics
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Econometrics papers
34
European journal of operational research : EJOR
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NBER working paper series
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
Cowles Foundation Discussion Paper
31
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
31
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IZA Discussion Paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Applied economics
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Computational economics
27
International journal of forecasting
27
Journal of applied econometrics
26
Discussion paper / Center for Economic Research, Tilburg University
25
Empirical economics : a quarterly journal of the Institute for Advanced Studies
25
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A frequency-domain alternative to long-horizon regressions with application to return predictability
Sizova, Natalia
- In:
Journal of empirical finance
28
(
2014
),
pp. 261-272
Persistent link: https://www.econbiz.de/10011285632
Saved in:
12
Modelling changes in the unconditional variance of long stock return series
Amado, Cristina
;
Teräsvirta, Timo
- In:
Journal of empirical finance
25
(
2014
),
pp. 15-35
Persistent link: https://www.econbiz.de/10010462094
Saved in:
13
High frequency lead/lag relationships : empirical facts
Huth, Nicolas
;
Abergel, Frédéric
- In:
Journal of empirical finance
26
(
2014
),
pp. 41-58
Persistent link: https://www.econbiz.de/10010472008
Saved in:
14
An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
Li, Minqiang
- In:
Journal of empirical finance
22
(
2013
),
pp. 128-139
Persistent link: https://www.econbiz.de/10009768415
Saved in:
15
Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolaj
;
Hirukawa, Masayuki
- In:
Journal of empirical finance
19
(
2012
)
4
,
pp. 595-609
Persistent link: https://www.econbiz.de/10009615659
Saved in:
16
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu
;
Hung, Jui-cheng
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Saved in:
17
Maximum likelihood estimation of non-affine volatility processes
Chourdakis, Kyriakos
;
Dotsis, George
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 533-545
Persistent link: https://www.econbiz.de/10009302070
Saved in:
18
Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
Saved in:
19
Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin
;
King, Maxwell L.
- In:
Journal of empirical finance
15
(
2008
)
3
,
pp. 549-566
Persistent link: https://www.econbiz.de/10003759632
Saved in:
20
Regime shifts in interest rate volatility
Sun, Licheng
- In:
Journal of empirical finance
12
(
2005
)
3
,
pp. 418-434
Persistent link: https://www.econbiz.de/10002900508
Saved in:
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