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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"
~subject:"Dynamic covariance matrix"
~subject:"Estimation theory"
~subject:"Futures"
~subject:"Marktmikrostruktur"
~subject:"Portfolio-Management"
~subject:"Volatilität"
~subject:"long memory"
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Dynamic covariance matrix
Estimation theory
Futures
Marktmikrostruktur
Portfolio-Management
Volatilität
long memory
Volatility
36
Capital income
24
Kapitaleinkommen
24
Time series analysis
21
Zeitreihenanalyse
21
Estimation
19
Schätzung
19
Theorie
15
Theory
15
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14
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14
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13
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13
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13
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11
Börsenkurs
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Schätztheorie
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5
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4
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Barunik, Jozef
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Anderson, Heather M.
1
Audrino, Francesco
1
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1
Baruník, Jozef
1
Bodnar, Taras
1
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1
Chen, Sipeng
1
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1
Clements, Adam
1
Cordis, Adriana S.
1
Corsi, Fulvio
1
Faria, Gonçalo
1
Fengler, Matthias
1
Feunou, Bruno
1
Golosnoy, Vasyl
1
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1
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Kalnina, Ilze
1
Kirby, Chris
1
Kosowski, Robert L.
1
Krehlik, Tomas
1
Kristoufek, Ladislav
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
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
The journal of futures markets
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)
40
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40
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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
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:
3
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:
4
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:
5
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:
6
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:
7
The correlation risk premium : international evidence
Faria, Gonçalo
;
Kosowski, Robert L.
;
Wang, Tianyu
- In:
Journal of banking & finance
136
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013448802
Saved in:
8
A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng
;
Xu, Wen
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
Saved in:
9
Testing for cojumps in high-frequency financial data : an approach based on first-high-low-last prices
Liao, Yin
;
Anderson, Heather M.
- In:
Journal of banking & finance
99
(
2019
),
pp. 252-274
Persistent link: https://www.econbiz.de/10012162415
Saved in:
10
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
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