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isPartOf:"Journal of applied econometrics"
subject:"Volatility"
~isPartOf:"Journal of economic dynamics & control"
~isPartOf:"Quantitative finance"
~type_genre:"Aufsatz in Zeitschrift"
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Volatility
Estimation
669
Schätzung
664
Theorie
294
Theory
294
USA
140
United States
140
Volatilität
88
Time series analysis
82
Zeitreihenanalyse
82
Forecasting model
69
Prognoseverfahren
69
Estimation theory
65
Schätztheorie
65
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62
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61
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36
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36
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33
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33
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30
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30
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30
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Aufsatz in Zeitschrift
Article in journal
88
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88
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Sornette, Didier
3
Wehrli, Alexander
3
Kapetanios, George
2
Liu, Xiaochun
2
Wheatley, Spencer
2
Zhang, Yang
2
Ahn, Kwangwon
1
Alemany, N.
1
Alessandrini, Diana
1
Alexander, Carol
1
Amir Ahmadi, Pooyan
1
Andersen, Torben
1
Aragó Manzana, Vicent
1
Asensio, Ivan Oscar
1
Bali, Turan G.
1
Baum, Christopher F.
1
Beck, Günter W.
1
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1
Berger, Tino
1
Bianchi, Michele Leonardo
1
Bocart, Fabian Y. R.
1
Bollerslev, Tim
1
Born, Benjamin
1
Bu, Di
1
Caglayan, Mustafa
1
Calvino, Flavio
1
Canabarro, Askery
1
Chauvet, Marcelle
1
Chen, Pu
1
Chi, Xie
1
Chong, Terence Tai-Leung
1
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1
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1
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1
Chronopoulou, Alexandra
1
Ciacci, Alberto
1
Clark, Todd E.
1
Coroneo, Laura
1
Criscuolo, Chiara
1
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1
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Journal of applied econometrics
Journal of economic dynamics & control
Quantitative finance
Energy economics
142
Applied economics
125
Finance research letters
118
Economic modelling
116
International review of economics & finance : IREF
110
International review of financial analysis
102
Journal of econometrics
102
The North American journal of economics and finance : a journal of financial economics studies
96
Journal of banking & finance
83
Journal of empirical finance
80
Applied economics letters
75
Applied financial economics
75
Journal of international financial markets, institutions & money
68
Journal of international money and finance
68
Research in international business and finance
68
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
The journal of futures markets
60
Economics letters
57
Journal of risk and financial management : JRFM
54
International journal of forecasting
46
The European journal of finance
46
International journal of finance & economics : IJFE
44
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
43
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
42
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
39
International Journal of Energy Economics and Policy : IJEEP
37
Journal of financial economics
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
34
Pacific-Basin finance journal
33
International journal of economics and finance
32
Journal of financial econometrics
31
International journal of economics and financial issues : IJEFI
30
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
29
Cogent economics & finance
28
Journal of forecasting
28
Econometric reviews
27
Journal of financial markets
26
Emerging markets, finance and trade : EMFT
24
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ECONIS (ZBW)
88
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88
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1
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
2
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
3
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
4
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
5
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
6
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
7
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance
Liao, Wenting
;
Ma, Jun
;
Zhang, Chengsi
- In:
Journal of applied econometrics
38
(
2023
)
7
,
pp. 989-1006
Persistent link: https://www.econbiz.de/10014474382
Saved in:
8
Fast estimation of a large TVP-VAR model with score-driven volatilities
Zheng, Tingguo
;
Ye, Shiqi
;
Hong, Yongmiao
- In:
Journal of economic dynamics & control
157
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014495380
Saved in:
9
Oil prices in the real economy
Shu, Haicheng
;
Spencer, Peter D.
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 878-897
Persistent link: https://www.econbiz.de/10014432198
Saved in:
10
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
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