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isPartOf:"Journal of econometrics"
~isPartOf:"International review of economics & finance : IREF"
~person:"Chang, Chia-Lin"
~person:"Shephard, Neil G."
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Volatility"
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Volatility
11
Volatilität
11
Capital income
5
Kapitaleinkommen
5
Stochastic process
5
Stochastischer Prozess
5
Time series analysis
5
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Chang, Chia-Lin
Shephard, Neil G.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
McAleer, Michael
13
Andersen, Torben
11
Aït-Sahalia, Yacine
11
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8
Xiu, Dacheng
8
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7
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7
Ma, Feng
7
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7
Patton, Andrew J.
7
Asai, Manabu
6
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6
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
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
Boswijk, Herman Peter
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
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4
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4
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
International review of economics & finance : IREF
Energy economics
4
The North American journal of economics and finance : a journal of financial economics studies
4
Journal of applied econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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ECONIS (ZBW)
11
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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
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
3
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:
4
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
5
Modelling a latent daily Tourism Financial Conditions Index
Chang, Chia-Lin
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 113-126
Persistent link: https://www.econbiz.de/10011573563
Saved in:
6
Multivariate rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil G.
;
Sheppard, Kevin
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 16-30
Persistent link: https://www.econbiz.de/10010258286
Saved in:
7
Realized volatility
Meddahi, Nour
;
Mykland, Per A.
;
Shephard, Neil G.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 1
Persistent link: https://www.econbiz.de/10009242567
Saved in:
8
Realized volatility : [most of the papers ... were presented at the CIRANO/CIREQ Conference on "Realized volatility", April 2006]
Meddahi, Nour
(
contributor
);
Mykland, Per A.
(
contributor
); …
-
2010
Persistent link: https://www.econbiz.de/10009244600
Saved in:
9
Stochastic volatility with leverage : fast and efficient likelihood inference
Omori, Yasuhiro
;
Chib, Siddhartha
;
Shephard, Neil G.
; …
- In:
Journal of econometrics
140
(
2007
)
2
,
pp. 425-449
Persistent link: https://www.econbiz.de/10003569881
Saved in:
10
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
- In:
Journal of econometrics
131
(
2006
)
1/2
,
pp. 217-252
Persistent link: https://www.econbiz.de/10003298574
Saved in:
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