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isPartOf:"Journal of applied econometrics"
subject:"Volatility"
~isPartOf:"Quantitative finance"
~subject:"Markov chain"
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Volatility
Markov chain
Estimation
430
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429
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173
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97
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97
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58
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Sornette, Didier
5
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3
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2
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1
Ahn, Kwangwon
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Journal of applied econometrics
Quantitative finance
Energy economics
149
Applied economics
146
Economic modelling
132
Journal of econometrics
122
Finance research letters
121
International review of economics & finance : IREF
116
International review of financial analysis
113
The North American journal of economics and finance : a journal of financial economics studies
104
Journal of banking & finance
90
Journal of empirical finance
89
Applied economics letters
88
Applied financial economics
77
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
73
Research in international business and finance
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Journal of international financial markets, institutions & money
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Journal of international money and finance
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Economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
64
The journal of futures markets
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58
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
56
International journal of forecasting
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International journal of finance & economics : IJFE
52
The European journal of finance
49
Journal of economic dynamics & control
42
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
40
International journal of economics and finance
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Journal of financial economics
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International Journal of Energy Economics and Policy : IJEEP
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Econometric reviews
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Pacific-Basin finance journal
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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International journal of economics and financial issues : IJEFI
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Cogent economics & finance
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ECONIS (ZBW)
75
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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
The macroeconomy as a random forest
Goulet Coulombe, Philippe
- In:
Journal of applied econometrics
39
(
2024
)
3
,
pp. 401-421
Persistent link: https://www.econbiz.de/10014517490
Saved in:
7
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:
8
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:
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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