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~subject:"Estimation theory"
~subject:"Korrelation"
~subject:"long memory"
~type_genre:"Article in journal"
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Estimation theory
Korrelation
long memory
Volatility
739
Volatilität
739
Capital income
419
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419
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405
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405
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339
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295
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287
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138
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Gribisch, Bastian
7
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5
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4
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4
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4
Hwang, Eunju
4
Lee, Hyunchul
4
Mykland, Per A.
4
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4
Asai, Manabu
3
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3
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3
Gallo, Giampiero M.
3
Hounyo, Ulrich
3
Kim, Donggyu
3
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Quaedvlieg, Rogier
3
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3
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2
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2
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2
Li, Z. Merrick
2
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2
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Journal of econometrics
26
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10
Finance research letters
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
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7
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7
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6
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6
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6
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5
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5
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4
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4
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3
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2
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1
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1
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1
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1
Frontiers of economics in China : selected publications from Chinese universities
1
Global finance journal
1
International journal of economics and finance
1
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ECONIS (ZBW)
167
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1
Evaluation of volatility spillovers for asymmetric
realized
covariance
Maki, Daiki
- In:
The North American journal of economics and finance : a …
73
(
2024
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014581009
Saved in:
2
A novel loss function for neural network models exploring stock
realized
volatility using Wasserstein Distance
Souto, Hugo Gobato
;
Moradi, Amir
- In:
Decision analytics journal
10
(
2024
),
pp. 1-11
realized
volatility (RV) data by adding Wasserstein Distance (WD). The study shows that the proposed loss statistically …
Persistent link: https://www.econbiz.de/10014533496
Saved in:
3
Composite forecasting of vast-dimensional
realized
covariance matrices using factor state-space models
Hartkopf, Jan Patrick
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
1
,
pp. 393-436
Persistent link: https://www.econbiz.de/10014226292
Saved in:
4
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:
5
Realized
BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
Saved in:
6
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
7
Realized
matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
8
A two-component
realized
exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
9
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:
10
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
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