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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:"Schätzung"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Monte Carlo simulation
Schätzung
Estimation theory
73
Schätztheorie
73
Time series analysis
20
Zeitreihenanalyse
20
Volatilität
16
Estimation
15
ARCH model
11
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English
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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
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Bu, Ruijun
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1
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1
Christoffersen, Peter F.
1
Conrad, Christian A.
1
Di, Jianing
1
Engle, Robert F.
1
Fan, Jianqing
1
Fan, Yingying
1
Frederiksen, Per
1
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1
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1
Giet, Ludovic
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1
Koopman, Siem Jan
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
333
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
178
Economics letters
152
Econometric reviews
96
Econometric theory
74
Discussion paper / Tinbergen Institute
72
Applied economics letters
71
Economic modelling
70
NBER Working Paper
66
Discussion paper series / IZA
64
Applied economics
62
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
59
CEMMAP working papers / Centre for Microdata Methods and Practice
58
NBER working paper series
58
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
55
The econometrics journal
51
Working paper / National Bureau of Economic Research, Inc.
51
Working paper / Department of Econometrics and Business Statistics, Monash University
48
Computational economics
45
Working paper
45
Journal of applied econometrics
44
Journal of empirical finance
42
Econometrics : open access journal
39
International journal of forecasting
38
Journal of banking & finance
38
Quantitative economics : QE ; journal of the Econometric Society
36
CESifo working papers
35
CREATES research paper
35
IZA Discussion Paper
35
Journal of the American Statistical Association : JASA
35
Journal of forecasting
33
Discussion papers / CEPR
32
Discussion paper
31
Empirical economics : a quarterly journal of the Institute for Advanced Studies
30
Finance research letters
30
European journal of operational research : EJOR
29
Journal of financial econometrics
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
International journal of economics and financial issues : IJEFI
27
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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
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