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subject:"Volatility"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"ARCH-Modell"
~subject:"Devisenmarkt"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Devisenmarkt
Estimation theory
99
Schätztheorie
99
Time series analysis
29
Zeitreihenanalyse
29
Estimation
27
Schätzung
27
Volatilität
27
ARCH model
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Risikomaß
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Maximum-Likelihood-Schätzung
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Noise Trading
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Noise trading
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Analysis of variance
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Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Alañón Pardo, Ángel
1
Andreou, Alena
1
Arize, Augustine Chuck
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Di, Jianing
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1
Engle, Robert F.
1
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Fan, Yingying
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Frederiksen, Per
1
Gangopadhyay, Ashis
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
142
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
40
Discussion paper / Tinbergen Institute
38
Econometric reviews
32
Journal of empirical finance
29
CREATES research paper
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Economic modelling
20
The econometrics journal
20
International journal of forecasting
18
Journal of banking & finance
18
Finance research letters
17
Journal of financial econometrics
17
Journal of forecasting
16
Quantitative finance
16
International journal of economics and financial issues : IJEFI
14
Applied economics
13
International journal of theoretical and applied finance
13
Journal of risk
13
Journal of risk and financial management : JRFM
13
Série des documents de travail / Centre de Recherche en Économie et Statistique
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Econometrics : open access journal
12
SFB 649 discussion paper
12
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
11
Applied economics letters
10
NBER Working Paper
10
CORE discussion papers : DP
9
The European journal of finance
9
Working papers
9
Finance and stochastics
8
Handbook of financial time series
8
The journal of risk model validation
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
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1
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
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2
A novel estimation of time-varying quantile correlation for financial contagion detection
Ye, Wuyi
;
Li, Mingge
;
Wu, Yuehua
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014225731
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3
Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu
;
Chen, Cathy W. S.
;
Syu, Fong-Yi
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
Saved in:
4
Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen
;
Alañón Pardo, Ángel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
Saved in:
5
The "Sell in May" effect : a review and new empirical evidence
Degenhardt, Thomas
;
Auer, Benjamin R.
- In:
The North American journal of economics and finance : a …
43
(
2018
),
pp. 169-205
Persistent link: https://www.econbiz.de/10012036281
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6
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
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7
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
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8
Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation
Li, Leon
- In:
The North American journal of economics and finance : a …
40
(
2017
),
pp. 116-135
Persistent link: https://www.econbiz.de/10011878799
Saved in:
9
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
10
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
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