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type_genre:"Article in journal"
~isPartOf:"Journal of econometrics"
~subject:"Prognoseverfahren"
~subject:"Volatility"
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Search: subject_exact:"Estimation"
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Prognoseverfahren
Volatility
Estimation
464
Schätzung
459
Estimation theory
216
Schätztheorie
216
Theorie
165
Theory
165
Time series analysis
115
Zeitreihenanalyse
115
Nichtparametrisches Verfahren
106
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106
Volatilität
102
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93
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93
Regression analysis
81
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63
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54
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46
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46
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38
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38
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32
Statistischer Test
32
ARCH model
31
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29
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Article in journal
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142
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English
142
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Todorov, Viktor
14
Bollerslev, Tim
8
Tauchen, George Eugene
7
Andersen, Torben
5
Kim, Donggyu
5
Li, Jia
5
Aït-Sahalia, Yacine
4
Fan, Jianqing
3
Francq, Christian
3
McAleer, Michael
3
Patton, Andrew J.
3
Taylor, Robert
3
Wang, Yazhen
3
Xiu, Dacheng
3
Zakoïan, Jean-Michel
3
Andreou, Elena
2
Asai, Manabu
2
Bandi, Federico M.
2
Barigozzi, Matteo
2
Bibinger, Markus
2
Christensen, Kim
2
Creal, Drew
2
Ergemen, Yunus Emre
2
Gallo, Giampiero M.
2
Ghysels, Eric
2
Grynkiv, Iaryna
2
Hallin, Marc
2
Harvey, Andrew C.
2
Hong, Yongmiao
2
Kong, Xin-Bing
2
Lee, Tae-hwy
2
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2
Paolella, Marc S.
2
Park, Joon Y.
2
Polak, Pawel
2
Quaedvlieg, Rogier
2
Thyrsgaard, Martin
2
Tu, Yundong
2
Valkanov, Rossen I.
2
Wang, Bin
2
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Journal of econometrics
Finance research letters
191
Applied economics
184
Energy economics
172
International journal of forecasting
161
Economic modelling
160
International review of economics & finance : IREF
145
International review of financial analysis
145
Journal of banking & finance
137
Journal of empirical finance
128
The North American journal of economics and finance : a journal of financial economics studies
122
Applied economics letters
121
Journal of forecasting
114
Journal of international money and finance
101
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
99
Economics letters
93
Applied financial economics
91
Journal of international financial markets, institutions & money
88
Research in international business and finance
84
Journal of financial economics
81
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
75
The journal of futures markets
74
Journal of risk and financial management : JRFM
68
The European journal of finance
66
International journal of finance & economics : IJFE
59
Pacific-Basin finance journal
58
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
55
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Journal of applied econometrics
50
Journal of financial econometrics : official journal of the Society for Financial Econometrics
46
Quantitative finance
46
Management science : journal of the Institute for Operations Research and the Management Sciences
45
Econometric reviews
43
Journal of economic dynamics & control
43
International journal of economics and finance
42
International Journal of Energy Economics and Policy : IJEEP
41
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
40
Journal of financial markets
40
Review of quantitative finance and accounting
38
Journal of macroeconomics
36
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ECONIS (ZBW)
142
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142
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1
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
2
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
4
Penetrating sporadic return predictability
Tu, Yundong
;
Xie, Xinling
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471472
Saved in:
5
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
6
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
7
A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan
;
Guerrier, Stéphane
;
Scaillet, Olivier
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
Saved in:
8
Are bond returns predictable with real-time macro data?
Huang, Dashan
;
Jiang, Fuwei
;
Li, Kunpeng
;
Tong, Guoshi
; …
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014471827
Saved in:
9
Business-cycle consumption risk and asset prices
Bandi, Federico M.
;
Tamoni, Andrea
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
Saved in:
10
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
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