//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
isPartOf:"Journal of econometrics"
~isPartOf:"International review of economics & finance : IREF"
~person:"Asai, Manabu"
~person:"Boswijk, Herman Peter"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Volatility"
Narrow search
Delete all filters
| 4 applied filters
Year of publication
From:
To:
Subject
All
Volatility
10
Volatilität
10
Stochastic process
7
Stochastischer Prozess
7
Theorie
5
Theory
5
Time series analysis
5
Zeitreihenanalyse
5
Estimation
4
Schätzung
4
Capital income
3
Kapitaleinkommen
3
Leverage effects
3
Long memory
3
Multivariate stochastic volatility
3
Asymmetry
2
Bootstrap approach
2
Bootstrap-Verfahren
2
Correlation
2
Financial market
2
Finanzmarkt
2
Forecasting model
2
Korrelation
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Nichtparametrisches Verfahren
2
Nonparametric statistics
2
Prognoseverfahren
2
Stochastic volatility
2
Stochastische Volatilität
2
(un)Conditional heteroskedasticity
1
ARCH model
1
ARCH-Modell
1
Adjustment coefficients
1
Asymptotic distribution
1
Bandwidth selection
1
Block structures
1
Bootstrap
1
Börsenkurs
1
Capital market returns
1
more ...
less ...
Online availability
All
Undetermined
8
Type of publication
All
Article
10
Type of publication (narrower categories)
All
Article in journal
10
Aufsatz in Zeitschrift
10
Language
All
English
10
Author
All
Asai, Manabu
Boswijk, Herman Peter
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
McAleer, Michael
13
Andersen, Torben
12
Aït-Sahalia, Yacine
11
Meddahi, Nour
8
Xiu, Dacheng
8
Gupta, Rangan
7
Li, Jia
7
Ma, Feng
7
Mykland, Per A.
7
Patton, Andrew J.
7
Caporin, Massimiliano
6
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Chang, Chia-Lin
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Hammoudeh, Shawkat
5
Li, Yingying
5
Mensi, Walid
5
Taylor, Robert
5
Zhou, Hao
5
Arize, Augustine Chuck
4
Barigozzi, Matteo
4
Francq, Christian
4
Jasiak, Joann
4
Kang, Sang Hoon
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
more ...
less ...
Published in...
All
Journal of econometrics
International review of economics & finance : IREF
Discussion paper / Tinbergen Institute
13
Econometric Institute research papers
10
Econometric reviews
7
Working paper
4
Applied financial economics
3
Econometrics : open access journal
2
Journal of empirical finance
2
The North American Journal of Economics and Finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
The econometrics journal
2
Asia-Pacific financial markets
1
Computational economics
1
Discussion papers / Department of Economics, University of Copenhagen
1
Handbook of financial time series
1
IMES discussion paper series / Englische Ausgabe
1
International journal of finance & economics : IJFE
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Journal of risk and financial management : JRFM
1
TI 2017-038/III Tinbergen Institute Discussion Paper
1
The journal of futures markets
1
Tinbergen Institute Discussion Paper
1
Tinbergen Institute Discussion Paper 2017-105/III
1
Tinbergen Institute Discussion Paper 2018-005/III
1
more ...
less ...
Source
All
ECONIS (ZBW)
10
Showing
1
-
10
of
10
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Bootstrapping non-stationary stochastic volatility
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Georgiev, Iliyan
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 161-180
Persistent link: https://www.econbiz.de/10013275368
Saved in:
3
Testing for self-excitation in jumps
Boswijk, Herman Peter
;
Laeven, Roger J. A.
;
Yang, Xiye
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 256-266
Persistent link: https://www.econbiz.de/10011974668
Saved in:
4
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
5
Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter
;
Cavaliere, Giuseppe
;
Rahbek, Anders
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
Saved in:
6
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
7
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
8
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
Saved in:
9
Estimating spot volatility with high-frequency financial data
Zu, Yang
;
Boswijk, Herman Peter
- In:
Journal of econometrics
181
(
2014
)
2
,
pp. 117-135
Persistent link: https://www.econbiz.de/10010473332
Saved in:
10
The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
150
(
2009
)
2
,
pp. 182-192
Persistent link: https://www.econbiz.de/10003858519
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->