//--> //--> //--> //-->
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"
~person:"Barigozzi, Matteo"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
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
17
Volatilität
17
Estimation theory
6
Schätztheorie
6
Theorie
6
Theory
6
Capital income
5
Forecasting model
5
Kapitaleinkommen
5
Market microstructure
5
Marktmikrostruktur
5
Prognoseverfahren
5
Time series analysis
5
Zeitreihenanalyse
5
Börsenkurs
4
Estimation
4
Microstructure
4
Schätzung
4
Share price
4
ARCH model
3
ARCH-Modell
3
CAPM
3
Consistency
3
Discrete observation
3
Leverage effect
3
Noise Trading
3
Noise trading
3
Robust estimation
3
Asynchronous times
2
Dynamic factor models
2
Efficiency
2
Equivalent martingale measure
2
Factor analysis
2
Faktorenanalyse
2
Financial market
2
Finanzmarkt
2
Irregular times
2
Liquidity
2
Liquidität
2
Pre-averaging
2
more ...
less ...
Online availability
All
Undetermined
9
Type of publication
All
Article
16
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
17
Aufsatz in Zeitschrift
17
Collection of articles of several authors
1
Conference proceedings
1
Konferenzschrift
1
Sammelwerk
1
Language
All
English
17
Author
All
Barigozzi, Matteo
Ghysels, Eric
Mykland, Per A.
Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Andersen, Torben
12
Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
8
Xiu, Dacheng
8
Li, Jia
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Boswijk, Herman Peter
4
Francq, Christian
4
Jasiak, Joann
4
Linton, Oliver
4
Maheu, John M.
4
Park, Joon Y.
4
Rahbek, Anders
4
Renault, Eric
4
Renò, Roberto
4
Yu, Jun
4
Zakoïan, Jean-Michel
4
Bandi, Federico M.
3
Calvet, Laurent E.
3
Carriero, Andrea
3
Chang, Chia-Lin
3
Christensen, Kim
3
Clark, Todd E.
3
more ...
less ...
Institution
All
Conference on Realized Volatility <2006, Montréal>
1
Published in...
All
Journal of econometrics
ECARES working paper
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Série des documents de travail / Centre de Recherche en Économie et Statistique
3
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
3
Working paper / National Bureau of Economic Research, Inc.
3
CIRANO Working Papers
2
Discussion paper / Centre for Economic Policy Research
2
Econometric theory
2
LEM working paper series
2
NBER Working Paper
2
NBER working paper series
2
Research paper series / Swiss Finance Institute
2
Studies in Nonlinear Dynamics & Econometrics
2
CORE discussion paper : DP
1
Cahier / Département de Sciences Économiques, Université de Montréal
1
Discussion papers / CEPR
1
ECB Working Paper
1
Econometric Reviews
1
Econometric analysis of financial and economic time series ; part a
1
Econometric reviews
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrics Working Papers Archive
1
Economics Papers / Economics Group, Nuffield College, University of Oxford
1
Economics working paper series
1
Handbook of financial time series
1
Journal of Econometrics
1
Journal of applied econometrics
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial economics
1
Journal of risk and financial management : JRFM
1
Journal of the American Statistical Association : JASA
1
Journal of time series econometrics
1
Kenan Institute of Private Enterprise Research Paper
1
Staff Report
1
Staff reports / Federal Reserve Bank of New York
1
Statistical methods in finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
more ...
less ...
Source
All
ECONIS (ZBW)
17
Showing
1
-
10
of
17
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
2
Time-varying general dynamic factor models and the measurement of financial connectedness
Barigozzi, Matteo
;
Hallin, Marc
;
Soccorsi, Stefano
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 324-343
Persistent link: https://www.econbiz.de/10012619427
Saved in:
3
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
4
Liquidity and volatility in the US treasury market
Nguyen, Giang H.
;
Engle, Robert F.
;
Fleming, Michael J.
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 207-229
Persistent link: https://www.econbiz.de/10012482750
Saved in:
5
Generalized dynamic factor models and volatilities : consistency, rates, and prediction intervals
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 4-34
Persistent link: https://www.econbiz.de/10012439634
Saved in:
6
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Mykland, Per A.
;
Zhang, Lan
;
Chen, Dachuan
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012139798
Saved in:
7
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
8
Generalized dynamic factor models and volatilities : estimation and forecasting
Barigozzi, Matteo
;
Hallin, Marc
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 307-321
Persistent link: https://www.econbiz.de/10011920497
Saved in:
9
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
10
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Barigozzi, Matteo
;
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 364-384
Persistent link: https://www.econbiz.de/10010497747
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->