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~isPartOf:"Finmap working paper"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"The journal of futures markets"
~subject:"Dynamic covariance matrix"
~subject:"Estimation theory"
~subject:"Futures"
~subject:"Portfolio-Management"
~subject:"Volatilität"
~subject:"long memory"
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Search: subject:"Realized"
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Dynamic covariance matrix
Estimation theory
Futures
Portfolio-Management
Volatilität
long memory
Volatility
43
Capital income
25
Kapitaleinkommen
25
Time series analysis
22
Zeitreihenanalyse
22
Estimation
21
Schätzung
21
Forecasting model
16
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16
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16
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16
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13
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12
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8
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7
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realized volatility
6
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Option pricing theory
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Optionspreistheorie
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Barunik, Jozef
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Alfelt, Gustav
1
Anderson, Heather M.
1
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1
Bandi, Federico M.
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
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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
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1
Jing, Bingyi
1
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1
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1
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Finmap working paper
Journal of banking & finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
The journal of futures markets
Finance research letters
41
International journal of forecasting
38
Journal of econometrics
34
Energy economics
28
International review of economics & finance : IREF
27
Journal of forecasting
27
Economic modelling
25
Journal of financial econometrics
25
The North American journal of economics and finance : a journal of financial economics studies
23
International review of financial analysis
20
Journal of empirical finance
19
Journal of risk and financial management : JRFM
18
Applied economics letters
17
Discussion paper / Tinbergen Institute
16
Applied economics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Quantitative finance
14
Department of Economics working paper series
12
Econometric reviews
12
Economics letters
12
International journal of finance & economics : IJFE
9
Pacific-Basin finance journal
9
Research in international business and finance
9
Econometrics : open access journal
8
IES working paper
8
Journal of international money and finance
8
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
Financial innovation : FIN
7
Journal of international financial markets, institutions & money
7
Journal of risk
7
Review of quantitative finance and accounting
7
Emerging markets, finance and trade : EMFT
6
Journal of financial economics
6
Journal of financial markets
6
Queen's Economics Department Working Paper
6
The European journal of finance
6
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ECONIS (ZBW)
47
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1
Singular conditional autoregressive Wishart model for
realized
covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Petroleum market volatility tracker in China
Bian, Huabin
;
Hua, Renhai
;
Liu, Qingfu
;
Zhang, Ping
- In:
The journal of futures markets
42
(
2022
)
11
,
pp. 2022-2040
Persistent link: https://www.econbiz.de/10013465839
Saved in:
3
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
4
Weighted least squares
realized
covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
5
Modeling and forecasting
realized
portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013461907
Saved in:
6
Why does option-implied volatility forecast
realized
volatility? : evidence from news events
Chen, Sipeng
;
Li, Gang
- In:
Journal of banking & finance
156
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014487208
Saved in:
7
VIX futures pricing based on high-frequency VIX : a hybrid approach combining SVR with parametric models
Qiao, Gaoxiu
;
Jiang, Gongyue
- In:
The journal of futures markets
43
(
2023
)
9
,
pp. 1238-1260
Persistent link: https://www.econbiz.de/10014339401
Saved in:
8
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
9
Optimal futures hedging by using
realized
semicovariances : the information contained in signed high-frequency returns
Lai, Yu-Sheng
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 677-701
Persistent link: https://www.econbiz.de/10014293180
Saved in:
10
Multivariate stochastic volatility model with
realized
volatilities and pairwise
realized
correlations
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 839-855
Persistent link: https://www.econbiz.de/10012313374
Saved in:
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