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Analysis of variance
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Analysis of variance
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Journal of econometrics
Working paper
15
Finance research letters
14
Journal of financial econometrics
14
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
14
Discussion paper / Tinbergen Institute
13
International journal of theoretical and applied finance
13
Journal of empirical finance
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International journal of hospitality management
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European journal of operational research : EJOR
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The review of financial studies
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Working paper / Department of Econometrics and Business Statistics, Monash University
8
Working paper series / University of Zurich, Department of Economics
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Applied economics
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Applied economics letters
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International journal of forecasting
7
The European journal of finance
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The review of economics and statistics
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CREATES research paper
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Global COE Hi-Stat discussion paper series
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International journal of productivity and quality management : IJPQM
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ECONIS (ZBW)
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1
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
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2
Realised quantile-based estimation of the integrated variance
Christensen, Kim
;
Oomen, Roel
;
Podolskij, Mark
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 74-98
Persistent link: https://www.econbiz.de/10008839938
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3
Realized range-based estimation of integrated variance
Christensen, Kimberly
;
Podolskij, Mark
- In:
Journal of econometrics
141
(
2007
)
2
,
pp. 323-349
Persistent link: https://www.econbiz.de/10003571292
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4
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
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5
Estimating covariation : Epps effect, microstructure noise
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 33-47
Persistent link: https://www.econbiz.de/10009242560
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6
Multi-scale tests for serial correlation
Gençay, Ramazan
;
Signori, Daniele
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 62-80
Persistent link: https://www.econbiz.de/10011326817
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7
Modelling volatility by variance decomposition
Amado, Cristina
;
Teräsvirta, Timo
- In:
Journal of econometrics
175
(
2013
)
2
,
pp. 142-153
Persistent link: https://www.econbiz.de/10009764416
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8
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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9
A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of econometrics
180
(
2014
)
2
,
pp. 217-232
Persistent link: https://www.econbiz.de/10010433385
Saved in:
10
Integrated variance forecasting : model based vs. reduced form
Sizova, Natalia
- In:
Journal of econometrics
162
(
2011
)
2
,
pp. 294-311
Persistent link: https://www.econbiz.de/10009270630
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