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Search: subject_exact:"Volatility"
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Forecasting model
Volatility
659
Volatilität
657
Estimation
218
Schätzung
218
Theorie
202
Theory
202
ARCH model
174
ARCH-Modell
174
Börsenkurs
160
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Market microstructure
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47
Statistische Verteilung
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Stochastic volatility
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46
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106
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Bollerslev, Tim
5
Ma, Feng
5
Patton, Andrew J.
5
Todorova, Neda
4
Zhang, Yaojie
4
Andersen, Torben
3
Cross, Jamie
3
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3
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3
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3
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3
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3
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3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
Su, Jen-je
2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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Journal of econometrics
Economic modelling
International journal of forecasting
118
Journal of forecasting
114
Energy economics
107
Finance research letters
92
International review of financial analysis
67
International review of economics & finance : IREF
54
The North American journal of economics and finance : a journal of financial economics studies
54
Journal of empirical finance
52
Applied economics
50
Journal of banking & finance
48
Applied economics letters
33
The journal of futures markets
33
Department of Economics working paper series
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Discussion paper / Tinbergen Institute
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Quantitative finance
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Applied financial economics
28
The European journal of finance
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Journal of international financial markets, institutions & money
25
International journal of finance & economics : IJFE
24
Journal of financial econometrics
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Journal of risk and financial management : JRFM
23
Economics letters
22
Pacific-Basin finance journal
22
Journal of financial economics
21
Journal of applied econometrics
19
Research in international business and finance
19
CREATES research paper
17
Risks : open access journal
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Computational economics
16
Emerging markets, finance and trade : EMFT
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Finance and economics discussion series
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NBER working paper series
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ECONIS (ZBW)
106
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
3
The role of uncertainty in forecasting volatility comovements across stock markets
Bucci, Andrea
;
Palomba, Giulio
;
Rossi, Eduardo
- In:
Economic modelling
125
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014463541
Saved in:
4
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
5
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
6
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
7
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
8
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
Saved in:
9
Asymmetric multivariate HAR models for realized covariance matrix : a study based on volatility timing strategies
Qu, Hui
;
Zhang, Yi
- In:
Economic modelling
106
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013347668
Saved in:
10
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
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