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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric reviews"
~person:"Jasiak, Joann"
~person:"Renault, Eric"
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Volatility
10
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5
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5
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Jasiak, Joann
Renault, Eric
McAleer, Michael
22
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19
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17
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15
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12
Asai, Manabu
11
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11
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9
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7
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6
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4
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Journal of econometrics
Econometric reviews
Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
3
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Uncertainty analysis in econometrics with applications : [This volume contains papers presented at TES 2013 - The Sixth International Conference of the Thailand Econometric Society, which is held in Chiang Mai, Thailand, during January 10th - 11th, 2013 ...]
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1
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
2
Stationary bubble equilibria in rational expectation models
Gouriéroux, Christian
;
Jasiak, Joann
;
Monfort, Alain
- In:
Journal of econometrics
218
(
2020
)
2
,
pp. 714-735
Persistent link: https://www.econbiz.de/10012483178
Saved in:
3
Causality effects in return volatility measures with random times
Renault, Eric
;
Werker, Bas J. M.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 272-279
Persistent link: https://www.econbiz.de/10009242519
Saved in:
4
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Garcia, René
;
Lewis, Marc-André
;
Pastorello, Sergio
; …
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 22-32
Persistent link: https://www.econbiz.de/10009242563
Saved in:
5
The Wishart Autoregressive process of multivariate stochastic volatility
Gouriéroux, Christian
;
Jasiak, Joann
;
Sufana, Razvan
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 167-181
Persistent link: https://www.econbiz.de/10003858506
Saved in:
6
Multivariate Jacobi process with application to smooth transitions
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 475-505
Persistent link: https://www.econbiz.de/10003298607
Saved in:
7
Factor stochastic volatility in mean models : a GMM approach
Doz, Catherine
;
Renault, Eric
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 275-309
Persistent link: https://www.econbiz.de/10003355766
Saved in:
8
Temporal aggregation of volatility models
Meddahi, Nour
;
Renault, Eric
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 355-379
Persistent link: https://www.econbiz.de/10001956326
Saved in:
9
Stochastic volatility duration models
Ghysels, Eric
;
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
119
(
2004
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10001956379
Saved in:
10
Dynamic factor models
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Econometric reviews
20
(
2001
)
4
,
pp. 385-424
Persistent link: https://www.econbiz.de/10001620897
Saved in:
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