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~subject:"Volatility"
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Volatility
Estimation theory
1,638
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1,638
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1,607
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1,607
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599
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597
Nichtparametrisches Verfahren
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Todorov, Viktor
16
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13
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11
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10
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7
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6
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5
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4
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4
Francq, Christian
4
Gouriéroux, Christian
4
Linton, Oliver
4
McAleer, Michael
4
Park, Joon Y.
4
Patton, Andrew J.
4
Renault, Eric
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Asai, Manabu
3
Boswijk, Herman Peter
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Fan, Jianqing
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Rahbek, Anders
3
Shephard, Neil G.
3
Swanson, Norman R.
3
Taylor, Robert
3
Varneskov, Rasmus Tangsgaard
3
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3
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Journal of econometrics
NBER working paper series
239
Journal of banking & finance
213
NBER Working Paper
212
International journal of theoretical and applied finance
211
Working paper / National Bureau of Economic Research, Inc.
203
Finance research letters
171
Quantitative finance
157
Journal of empirical finance
135
Economics letters
131
Economic modelling
129
Discussion paper / Tinbergen Institute
124
The journal of futures markets
122
Energy economics
118
Journal of economic dynamics & control
118
The North American journal of economics and finance : a journal of financial economics studies
117
Journal of financial economics
116
International review of financial analysis
114
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
114
Applied economics
111
Applied mathematical finance
107
Discussion paper / Centre for Economic Policy Research
106
International review of economics & finance : IREF
103
Mathematical finance : an international journal of mathematics, statistics and financial theory
97
International journal of forecasting
96
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91
Computational economics
87
Research paper series / Swiss Finance Institute
85
The European journal of finance
84
Journal of international money and finance
81
Journal of risk and financial management : JRFM
78
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75
Finance and stochastics
74
The journal of computational finance
74
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73
Econometric reviews
72
Journal of financial econometrics : official journal of the Society for Financial Econometrics
71
Journal of forecasting
71
Applied economics letters
69
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
264
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1
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
2
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
3
Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu
;
Zhang, Zhengjun
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
Saved in:
4
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
5
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
6
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
7
Identification of structural multivariate GARCH models
Hafner, Christian M.
;
Herwartz, Helmut
;
Maxand, Simone
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 212-227
Persistent link: https://www.econbiz.de/10013441647
Saved in:
8
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
Saved in:
9
Nonparametric estimation of jump diffusion models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
10
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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