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subject:"Volatility"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH-Modell"
~subject:"Kapitaleinkommen"
~subject:"Monte Carlo simulation"
~subject:"Risikomaß"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Kapitaleinkommen
Monte Carlo simulation
Risikomaß
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
15
ARCH model
11
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English
37
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Audrino, Francesco
2
Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Balter, Janine
1
Bormann, Carsten
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1
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1
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1
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1
Christoffersen, Peter F.
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Czellar, Veronika
1
Di, Jianing
1
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1
Engle, Robert F.
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1
Fan, Yingying
1
Frederiksen, Per
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Frühwirth-Schnatter, Sylvia
1
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1
Ikeda, Shin S.
1
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1
Kokoszka, Piotr
1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
199
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
96
Economics letters
68
Econometric theory
59
Discussion paper / Tinbergen Institute
53
Econometric reviews
51
Journal of empirical finance
43
Computational economics
38
Finance research letters
36
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
36
The econometrics journal
34
Insurance / Mathematics & economics
31
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30
Journal of risk
27
Applied economics
26
CREATES research paper
26
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26
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25
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25
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25
Journal of financial econometrics
24
Journal of risk and financial management : JRFM
24
Applied economics letters
22
European journal of operational research : EJOR
22
International journal of forecasting
22
International journal of theoretical and applied finance
22
Quantitative finance
22
NBER working paper series
20
SFB 649 discussion paper
20
Série des documents de travail / Centre de Recherche en Économie et Statistique
20
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
19
Risks : open access journal
18
Working paper / Department of Econometrics and Business Statistics, Monash University
18
Journal of economic dynamics & control
17
The European journal of finance
17
Finance and economics discussion series
16
Journal of mathematical finance
16
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
Dynamic functional regression with application to the cross-section of returns
Kokoszka, Piotr
;
Miao, Hong
;
Reimherr, Matthew
; …
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 461-485
Persistent link: https://www.econbiz.de/10011987795
Saved in:
2
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:
3
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
4
Efficient portfolio selection in a large market
Chen, Jiaqin
;
Yuan, Ming
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 496-524
Persistent link: https://www.econbiz.de/10011623668
Saved in:
5
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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
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