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~isPartOf:"Journal of financial econometrics"
~subject:"ARCH-Modell"
~subject:"Bayesian inference"
~subject:"Schätzung"
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Journal of financial econometrics
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1
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
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2
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
Saved in:
3
Bayesian nonparametric estimation of ex post variance
Griffin, Jim
;
Liu, Jia
;
Maheu, John M.
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 823-859
Persistent link: https://www.econbiz.de/10012799051
Saved in:
4
A latent factor model for forecasting realized variances
Calzolari, Giorgio
;
Halbleib, Roxana
;
Zagidullina, Aygul
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 860-909
Persistent link: https://www.econbiz.de/10012799052
Saved in:
5
Factor models for portfolio selection in large dimensions : the good, the better and the ugly
De Nard, Gianluca
;
Ledoit, Olivier
;
Wolf, Michael
- In:
Journal of financial econometrics
19
(
2021
)
2
,
pp. 236-257
Persistent link: https://www.econbiz.de/10012620051
Saved in:
6
Realized Wishart-GARCH : a score-driven multi-asset volatility model
Gorgi, P.
;
Hansen, Peter Reinhard
;
Janus, Paweł
; …
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012054424
Saved in:
7
Factor high-frequency-based volatility (HEAVY) models
Sheppard, Kevin
;
Xu, Wen
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 33-65
Persistent link: https://www.econbiz.de/10012054425
Saved in:
8
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
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