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~isPartOf:"Journal of econometrics"
~isPartOf:"Risks : open access journal"
~subject:"Nonparametric statistics"
~subject:"Stochastic process"
~subject:"Volatility"
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Nonparametric statistics
Stochastic process
Volatility
Theorie
2,033
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368
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368
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Phillips, Peter C. B.
13
Linton, Oliver
10
Yu, Jun
8
Aït-Sahalia, Yacine
7
McAleer, Michael
7
Bollerslev, Tim
5
Chen, Xiaohong
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Gouriéroux, Christian
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Renault, Eric
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Robinson, Peter M.
5
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4
Gallant, A. Ronald
4
Gao, Jiti
4
Hallin, Marc
4
Hidalgo, Javier
4
Jensen, Mark J.
4
Lewbel, Arthur
4
Tauchen, George Eugene
4
Taylor, Robert
4
Todorov, Viktor
4
Whang, Yoon-jae
4
Asai, Manabu
3
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3
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3
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3
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3
Park, Joon Y.
3
Patton, Andrew J.
3
Simar, Léopold
3
Sviščuk, Anatolij
3
Xiao, Zhijie
3
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Journal of econometrics
Risks : open access journal
European journal of operational research : EJOR
492
NBER working paper series
205
Working paper / National Bureau of Economic Research, Inc.
198
NBER Working Paper
196
Insurance / Mathematics & economics
171
International journal of theoretical and applied finance
160
Economics letters
157
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
155
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149
Computers & operations research : and their applications to problems of world concern ; an international journal
147
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146
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137
Journal of economic dynamics & control
134
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128
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127
Mathematical finance : an international journal of mathematics, statistics and financial theory
125
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
122
Economic modelling
122
Finance research letters
119
Econometric reviews
115
Econometric theory
109
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
106
Operations research letters
103
SFB 649 discussion paper
102
Working paper
98
Discussion paper / Centre for Economic Policy Research
97
International journal of forecasting
96
Energy economics
94
Journal of empirical finance
94
Quantitative finance
89
Mathematics of operations research
85
Computational economics
82
Applied economics
80
Journal of financial economics
80
Journal of economic theory
79
International journal of production economics
78
Applied economics letters
76
The review of financial studies
76
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ECONIS (ZBW)
403
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1
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
Saved in:
2
Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel
;
Gao, Jiti
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
Saved in:
3
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 104-119
Persistent link: https://www.econbiz.de/10003783790
Saved in:
4
Testing for multivariate volatility functions using minimum volume sets and inverse regression
Polonik, Wolfgang
;
Yao, Qiwei
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 151-162
Persistent link: https://www.econbiz.de/10003783795
Saved in:
5
Local likelihood estimation of truncated regression and its partial derivatives : theory and application
Park, Byeong U.
;
Simar, Léopold
;
Zelenyuk, Valentin
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 185-198
Persistent link: https://www.econbiz.de/10003778287
Saved in:
6
Semiparametric estimation of a binary response model with a change-point due to a covariate threshold
Lee, Sokbae
;
Seo, Myung Hwan
- In:
Journal of econometrics
144
(
2008
)
2
,
pp. 492-499
Persistent link: https://www.econbiz.de/10003774693
Saved in:
7
Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos
Shintani, Mototsugu
;
Linton, Oliver
- In:
Journal of econometrics
120
(
2004
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10001998813
Saved in:
8
Nonstationary discrete choice
Hu, Ling
;
Phillips, Peter C. B.
- In:
Journal of econometrics
120
(
2004
)
1
,
pp. 103-138
Persistent link: https://www.econbiz.de/10001998884
Saved in:
9
A long-run pure variance common features model for the common volatilities of the Dow Jones
Engle, Robert F.
;
Marcucci, Juri
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 7-42
Persistent link: https://www.econbiz.de/10003320235
Saved in:
10
The common and specific components of dynamic volatility
Connor, Gregory
;
Korajczyk, Robert A.
;
Linton, Oliver
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 231-255
Persistent link: https://www.econbiz.de/10003320262
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