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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:"Volatilität"
~subject:"long memory"
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Search: subject:"Realized"
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Dynamic covariance matrix
Estimation theory
Futures
Volatilität
long memory
Volatility
36
Capital income
24
Kapitaleinkommen
24
Time series analysis
21
Zeitreihenanalyse
21
Estimation
19
Schätzung
19
Theorie
15
Theory
15
Forecasting model
14
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14
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13
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13
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Schätztheorie
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Barunik, Jozef
4
Alfelt, Gustav
1
Anderson, Heather M.
1
Audrino, Francesco
1
Bandi, Federico M.
1
Barunikova, Michaela
1
Baruník, Jozef
1
Bodnar, Taras
1
Bormetti, Giacomo
1
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1
Chen, Sipeng
1
Christoffersen, Peter F.
1
Clements, Adam
1
Cordis, Adriana S.
1
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1
Fengler, Matthias
1
Feunou, Bruno
1
Guo, Hui
1
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Jozef, Baruník
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1
Kirby, Chris
1
Krehlik, Tomas
1
Kristoufek, Ladislav
1
Kukacka, Jiri
1
Langeland, Henrik
1
Lee, Hwang Hee
1
Li, Gang
1
Li, Yifan
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
37
Journal of econometrics
33
Energy economics
28
Journal of forecasting
27
International review of economics & finance : IREF
26
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
18
Applied economics letters
17
Journal of risk and financial management : JRFM
17
Discussion paper / Tinbergen Institute
16
Applied economics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Quantitative finance
13
Department of Economics working paper series
12
Econometric reviews
12
Economics letters
12
International journal of finance & economics : IJFE
9
Research in international business and finance
9
Econometrics : open access journal
8
IES working paper
8
Pacific-Basin finance journal
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 international money and finance
7
Journal of risk
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
Review of quantitative finance and accounting
6
The European journal of finance
6
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ECONIS (ZBW)
37
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
VIX valuation and its futures pricing through a generalized affine
realized
volatility model with hidden components and jump
Wang, Qi
;
Wang, Zerong
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012489233
Saved in:
10
A stochastic volatility model with
realized
measures for option pricing
Bormetti, Giacomo
;
Casarin, Roberto
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
Saved in:
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