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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Estimation theory"
~subject:"Volatility"
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Estimation theory
Volatility
Estimation
77
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77
Forecasting model
61
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61
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52
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52
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Ghysels, Eric
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
349
Energy economics
278
Finance research letters
238
International journal of forecasting
233
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
232
Economic modelling
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Applied economics
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Economics letters
193
Journal of forecasting
193
International review of financial analysis
160
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International review of economics & finance : IREF
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Journal of empirical finance
142
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139
The North American journal of economics and finance : a journal of financial economics studies
137
Journal of banking & finance
136
NBER working paper series
135
NBER Working Paper
127
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124
Discussion paper / Tinbergen Institute
118
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
108
Applied financial economics
105
Econometric reviews
101
Research in international business and finance
96
CESifo working papers
93
Journal of international money and finance
92
Journal of international financial markets, institutions & money
90
The journal of futures markets
89
Discussion paper series / IZA
86
Journal of risk and financial management : JRFM
86
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of applied econometrics
82
Discussion paper / Centre for Economic Policy Research
73
The European journal of finance
73
International journal of finance & economics : IJFE
72
Quantitative finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
63
Journal of financial econometrics
62
International Journal of Energy Economics and Policy : IJEEP
59
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1
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
4
,
pp. 591-623
Persistent link: https://www.econbiz.de/10003570734
Saved in:
2
Asymmetry and long memory in volatility modeling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
Saved in:
3
On the properties of regression test of stock returns predictability using dividend-price ratios
Moon, Seongman
;
Velasco, Carlos
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 151-173
Persistent link: https://www.econbiz.de/10010233601
Saved in:
4
Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric
;
Okou, Cédric
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
Saved in:
5
Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar
;
Schneider, Paul
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
Saved in:
6
The economic value of volatility forecasts : a conditional approach
Taylor, Nicholas
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 433-478
Persistent link: https://www.econbiz.de/10010391951
Saved in:
7
Measuring high-frequency causality between returns, realized volatility, and implied volatility
Dufour, Jean-Marie
;
Garcia, René
;
Taamouti, Abderrahim
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 124-163
Persistent link: https://www.econbiz.de/10009519709
Saved in:
8
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
9
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
10
Indirect inference
estimation
of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
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