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Volatility
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McAleer, Michael
91
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Pierdzioch, Christian
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48
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39
Härdle, Wolfgang
36
Hautsch, Nikolaus
34
Koopman, Siem Jan
34
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33
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32
Belke, Ansgar
31
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29
Bouri, Elie
28
Kumar, Dilip
28
Engle, Robert F.
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27
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26
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26
Ma, Feng
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25
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24
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Li, Jia
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Xuan Vinh Vo
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19
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Federal Reserve Bank of New York
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Federal Reserve System / Division of Research and Statistics
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Financial Options Research Centre
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Journal of econometrics
174
Energy economics
148
Finance research letters
130
Applied economics
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Economic modelling
123
International review of economics & finance : IREF
115
International review of financial analysis
107
The North American journal of economics and finance : a journal of financial economics studies
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Journal of empirical finance
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Journal of banking & finance
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Applied economics letters
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Journal of international financial markets, institutions & money
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Research in international business and finance
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International journal of forecasting
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Journal of risk and financial management : JRFM
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CESifo working papers
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Discussion paper / Centre for Economic Policy Research
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The European journal of finance
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International journal of finance & economics : IJFE
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Quantitative finance
45
Econometric reviews
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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International Journal of Energy Economics and Policy : IJEEP
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Journal of financial economics
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Journal of financial econometrics
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Journal of forecasting
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Pacific-Basin finance journal
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ECONIS (ZBW)
9,187
EconStor
14
BASE
1
RePEc
1
Showing
1
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10
of
9,203
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date (oldest first)
1
Correlation shrinkage : implications for risk forecasting
Menchero, Jose
;
Li, Peng
- In:
Journal of investment management : JOIM
18
(
2020
)
3
,
pp. 92-108
Persistent link: https://www.econbiz.de/10012589102
Saved in:
2
Dynamic covariance matrix
estimation
and portfolio analysis with high-frequency data
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
3
Uncertain risk parity
Shah, Anish R.
- In:
The journal of investment strategies
10
(
2021
)
1
,
pp. 29-41
Persistent link: https://www.econbiz.de/10012805357
Saved in:
4
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
5
Rounding errors and volatility
estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
6
Missing variation in the Great Moderation : lack of signal error and OLS regression
Nalewaik, Jeremy
-
2014
Persistent link: https://www.econbiz.de/10010433458
Saved in:
7
Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study
Pauly, Ralf
;
Kosater, Peter
-
2005
article, we assess the small sample properties in
estimation
and the performance in volatility forecasting of four competing …
Persistent link: https://www.econbiz.de/10009660996
Saved in:
8
Estimation
of long memory in integrated variance
Rossi, Eduardo
;
Santucci de Magistris, Paolo
- In:
Econometric reviews
33
(
2014
)
7
,
pp. 785-814
Persistent link: https://www.econbiz.de/10010363876
Saved in:
9
The information content of implied volatility index (India VIX)
Shaikh, Imlak
;
Padhi, Puja
- In:
Global business perspectives
1
(
2013
)
4
,
pp. 359-378
Persistent link: https://www.econbiz.de/10010230219
Saved in:
10
Small-sample properties of estimators in an ARCH(1) and GARCH(1,1) model with a generalized error distribution : a robustness study
Pauly, Ralf
;
Kosater, Peter
-
2005
-
Preliminary version
Persistent link: https://www.econbiz.de/10003204016
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