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subject:"Volatility"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH-Modell"
~subject:"Monte Carlo simulation"
~subject:"Regressionsanalyse"
~subject:"Risikomaß"
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Volatility
ARCH-Modell
Monte Carlo simulation
Regressionsanalyse
Risikomaß
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
Schätzung
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39
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Audrino, Francesco
2
Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahn, Seung Chan
1
Andreou, Alena
1
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Bormann, Carsten
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1
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1
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1
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1
Di, Jianing
1
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1
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1
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1
Fan, Yingying
1
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1
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1
Gadarowski, Christopher
1
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1
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1
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1
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1
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1
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1
Janus, Paweł
1
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1
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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
433
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
170
Economics letters
148
Econometric theory
147
Econometric reviews
115
CEMMAP working papers / Centre for Microdata Methods and Practice
108
Journal of the American Statistical Association : JASA
102
The econometrics journal
84
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
83
Discussion paper / Tinbergen Institute
80
Computational economics
52
NBER Working Paper
52
Discussion paper series / IZA
50
Discussion papers of interdisciplinary research project 373
48
Cowles Foundation discussion paper
47
Econometrics : open access journal
47
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47
European journal of operational research : EJOR
47
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Insurance / Mathematics & economics
44
NBER working paper series
41
International journal of forecasting
39
Applied economics letters
38
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
37
SFB 649 discussion paper
37
Working paper / Department of Econometrics and Business Statistics, Monash University
37
CREATES research paper
36
Journal of empirical finance
35
Applied economics
34
Journal of risk and financial management : JRFM
33
Finance research letters
32
Working paper / National Bureau of Economic Research, Inc.
32
Journal of forecasting
31
Série des documents de travail / Centre de Recherche en Économie et Statistique
31
Working paper
31
Cowles Foundation Discussion Paper
30
KBI
30
Working papers / TSE : WP
29
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
Expected shortfall estimation and Gaussian inference for infinite variance time series
Hill, Jonathan B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 1-44
Persistent link: https://www.econbiz.de/10010519664
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