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~isPartOf:"Econometric reviews"
~source:"econis"
~subject:"Estimation"
~subject:"Prognoseverfahren"
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Search: subject:"Volatility"
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Estimation
Prognoseverfahren
Volatility
89
Volatilität
89
Theorie
53
Theory
53
Stochastic process
44
Stochastischer Prozess
44
Time series analysis
33
Zeitreihenanalyse
33
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28
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25
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25
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22
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22
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19
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15
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12
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12
Nichtparametrisches Verfahren
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11
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9
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9
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9
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40
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McAleer, Michael
5
Asai, Manabu
4
Chan, Joshua
2
Jawadi, Fredj
2
Koopman, Siem Jan
2
Meyer, Renate
2
Teräsvirta, Timo
2
Alghalith, Moawia
1
Amado, Cristina
1
Anatolyev, Stanislav
1
Andreou, Panayiotis C.
1
Anyfantaki, Sofia
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Bordignon, Silvano
1
Brechmann, E. C.
1
Brownlees, Christian
1
Bu, Ruijun
1
Cai, Yuzhi
1
Caporin, Massimiliano
1
Cartea, Álvaro
1
Christodoulakis, George A.
1
Dimitrakopoulos, Stefanos
1
Dufays, Arnaud
1
Eisenstat, Eric
1
Ftiti, Zied
1
Glickman, Mark E.
1
Han, Ai
1
He, Yanan
1
Heiden, M.
1
Herwartz, Helmut
1
Hillebrand, Eric
1
Hong, Yongmiao
1
Jungbacker, Borus
1
Karyampas, Dimitrios
1
Kobotaev, Nikita
1
Kolossiatis, Michalis
1
Laurini, Fabrizio
1
Li, Yuyi
1
Long, Yonghong
1
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Econometric reviews
Energy economics
230
Finance research letters
207
Discussion paper series / IZA
170
Applied economics
168
Economic modelling
160
International review of financial analysis
154
International review of economics & finance : IREF
153
International journal of forecasting
130
Journal of econometrics
130
The North American journal of economics and finance : a journal of financial economics studies
129
Journal of forecasting
121
Journal of empirical finance
119
Journal of banking & finance
111
Working paper / National Bureau of Economic Research, Inc.
109
Applied economics letters
106
NBER working paper series
104
Working paper
102
Applied financial economics
96
NBER Working Paper
96
The journal of futures markets
86
Research in international business and finance
84
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
83
Journal of international financial markets, institutions & money
83
Discussion paper / Centre for Economic Policy Research
81
Journal of international money and finance
80
Economics letters
79
CESifo working papers
78
Discussion paper / Tinbergen Institute
78
Journal of risk and financial management : JRFM
68
The European journal of finance
66
International journal of finance & economics : IJFE
63
Quantitative finance
57
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
54
Pacific-Basin finance journal
49
Journal of financial econometrics
47
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
47
IZA Discussion Paper
46
Journal of financial econometrics : official journal of the Society for Financial Econometrics
46
Journal of financial economics
45
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ECONIS (ZBW)
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1
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
2
Extremal quantiles and stock price crashes
Andreou, Panayiotis C.
;
Anyfantaki, Sofia
;
Maasoumi, …
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
Saved in:
3
Dynamic factor, leverage and realized covariances in multivariate stochastic
volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
4
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
5
On the estimation of integrated
volatility
in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
6
Forecasting crude oil price intervals and return
volatility
via autoregressive conditional interval models
He, Yanan
;
Han, Ai
;
Hong, Yongmiao
;
Sun, Yuying
;
Wang, …
- In:
Econometric reviews
40
(
2021
)
6
,
pp. 584-606
Persistent link: https://www.econbiz.de/10012624525
Saved in:
7
Bayesian analysis of moving average stochastic
volatility
models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
8
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
9
Forecasting energy futures
volatility
with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
10
Data cloning estimation for asymmetric stochastic
volatility
models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
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