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Stochastic process
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Todorov, Viktor
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Asai, Manabu
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Journal of econometrics
European journal of operational research : EJOR
656
International journal of theoretical and applied finance
324
Insurance / Mathematics & economics
283
Finance and stochastics
196
Computers & operations research : and their applications to problems of world concern ; an international journal
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International journal of production research
177
Operations research
177
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167
Operations research letters
165
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163
Journal of economic dynamics & control
145
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138
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128
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128
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122
Physica A: Statistical Mechanics and its Applications
117
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115
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111
Economics letters
106
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106
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95
Management science : journal of the Institute for Operations Research and the Management Sciences
95
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
94
Transportation research / E : an international journal
94
Journal of mathematical finance
89
Economic modelling
87
Econometric reviews
86
Finance research letters
86
International journal of financial engineering
81
INFORMS journal on computing : JOC
80
Omega : the international journal of management science
79
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Mathematical methods of operations research
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Annals of operations research
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ECONIS (ZBW)
219
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1
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:
2
A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
3
Asymptotic and bootstrap tests for linearity in a TAR-GARCH(1,1) model with a unit root
Gospodinov, Nikolaj
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 146-161
Persistent link: https://www.econbiz.de/10003778271
Saved in:
4
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
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5
Generalized reduced rank tests using the singular value decomposition
Kleibergen, Frank
;
Paap, Richard
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10003354557
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6
Testing for stochastic dominance using the weighted McFadden-type statistic
Horváth, Lajos
;
Kokoszka, Piotr
;
Zitikis, Ričardas
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 191-205
Persistent link: https://www.econbiz.de/10003354571
Saved in:
7
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Durham, Garland B.
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 273-305
Persistent link: https://www.econbiz.de/10003354577
Saved in:
8
Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
Andrews, Donald W. K.
;
Lieberman, Offer
;
Marmer, Vadim
- In:
Journal of econometrics
133
(
2006
)
2
,
pp. 673-702
Persistent link: https://www.econbiz.de/10003359623
Saved in:
9
Bootstrap specification tests for linear covariance stationary processes
Hidalgo, Javier
;
Kreiß, Jens-Peter
- In:
Journal of econometrics
133
(
2006
)
2
,
pp. 807-839
Persistent link: https://www.econbiz.de/10003359648
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10
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Todorov, Viktor
- In:
Journal of econometrics
148
(
2009
)
2
,
pp. 131-148
Persistent link: https://www.econbiz.de/10003833752
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