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~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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Dynamic covariance matrix
Estimation theory
Futures
Volatilität
long memory
Time series analysis
10
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10
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10
Capital income
9
Kapitaleinkommen
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Alfelt, Gustav
1
Bandi, Federico M.
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Bodnar, Taras
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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
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19
Journal of empirical finance
18
Applied economics letters
17
Journal of risk and financial management : JRFM
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Discussion paper / Tinbergen Institute
16
Applied economics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
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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
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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
Finmap working paper
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
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ECONIS (ZBW)
11
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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
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:
3
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:
4
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:
5
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:
6
Measuring nonlinear Granger causality in mean
Song, Xiaojun
;
Taamouti, Abderrahim
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
2
,
pp. 321-333
Persistent link: https://www.econbiz.de/10011895015
Saved in:
7
On estimation of hurst parameter under noisy observations
Liu, Guangying
;
Jing, Bingyi
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
3
,
pp. 483-492
Persistent link: https://www.econbiz.de/10012249184
Saved in:
8
Nonlinearity, breaks, and long-range dependence in time-series models
Hillebrand, Eric
;
Medeiros, Marcelo C.
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 23-41
Persistent link: https://www.econbiz.de/10011691143
Saved in:
9
Exponential GARCH modeling with
realized
measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 269-287
Persistent link: https://www.econbiz.de/10011691332
Saved in:
10
A
realized
stochastic volatility model with box-cox transformation
Zheng, Tingguo
;
Song, Tao
- In:
Journal of business & economic statistics : JBES ; a …
32
(
2014
)
4
,
pp. 593-605
Persistent link: https://www.econbiz.de/10010488412
Saved in:
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