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subject:"Volatility"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Marktmikrostruktur"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH model
ARCH-Modell
Marktmikrostruktur
Monte Carlo simulation
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
Market microstructure
10
Capital income
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29
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Audrino, Francesco
2
Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
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Zakoïan, Jean-Michel
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1
Balter, Janine
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Bos, Charles S.
1
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Carrasco, Marine
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Christoffersen, Peter F.
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Conrad, Christian A.
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Di, Jianing
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Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Frederiksen, Per
1
Frühwirth-Schnatter, Sylvia
1
Gangopadhyay, Ashis
1
Ghysels, Eric
1
Haag, Berthold R.
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Hahn, Markus
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1
Mykland, Per A.
1
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1
Nielsen, Morten Ørregaard
1
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1
Oya, Kosuke
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
181
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
76
Economics letters
60
Econometric theory
57
Discussion paper / Tinbergen Institute
50
Econometric reviews
48
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
Computational economics
31
The econometrics journal
30
CREATES research paper
29
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29
Journal of empirical finance
29
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International journal of forecasting
21
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21
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Working paper / National Bureau of Economic Research, Inc.
21
Econometrics : open access journal
20
Journal of banking & finance
19
Journal of financial econometrics
19
Journal of forecasting
19
International journal of theoretical and applied finance
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
Journal of risk and financial management : JRFM
16
NBER working paper series
16
European journal of operational research : EJOR
15
Journal of risk
15
Working paper / Department of Econometrics and Business Statistics, Monash University
15
International journal of economics and financial issues : IJEFI
14
Journal of economic dynamics & control
14
The North American journal of economics and finance : a journal of financial economics studies
14
CEMMAP working papers / Centre for Microdata Methods and Practice
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of time series econometrics
13
SFB 649 discussion paper
13
Working paper
13
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1
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
Saved in:
2
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
Saved in:
3
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
4
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
5
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
6
On the optimal estimating function method for conditional correlation models
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 83-125
Persistent link: https://www.econbiz.de/10010519661
Saved in:
7
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
8
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
9
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
10
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
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