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isPartOf:"Journal of econometrics"
~source:"econis"
~subject:"Capital income"
~subject:"Stochastischer Prozess"
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Capital income
Stochastischer Prozess
Volatility
321
Volatilität
321
Theorie
125
Theory
125
Estimation theory
116
Schätztheorie
116
Stochastic process
104
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102
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Todorov, Viktor
15
Bollerslev, Tim
9
Tauchen, George Eugene
8
Andersen, Torben
7
McAleer, Michael
6
Shephard, Neil G.
6
Asai, Manabu
5
Aït-Sahalia, Yacine
5
Mykland, Per A.
5
Xiu, Dacheng
5
Meddahi, Nour
4
Renault, Eric
4
Carriero, Andrea
3
Chang, Chia-Lin
3
Clark, Todd E.
3
Li, Jia
3
Maheu, John M.
3
Marcellino, Massimiliano
3
Renò, Roberto
3
Yu, Jun
3
Amengual, Dante
2
Bandi, Federico M.
2
Bekaert, Geert
2
Bondarenko, Oleg
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Boswijk, Herman Peter
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Calvet, Laurent E.
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Chan, Joshua
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Chib, Siddhartha
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Creal, Drew
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Dufour, Jean-Marie
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Fisher, Adlai
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Francq, Christian
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Gallant, A. Ronald
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Grynkiv, Iaryna
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Jensen, Mark J.
2
Kim, Donggyu
2
Laeven, Roger J. A.
2
Li, Yingying
2
Linton, Oliver
2
Paolella, Marc S.
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Finance research letters
172
International journal of theoretical and applied finance
141
Journal of banking & finance
139
International review of financial analysis
130
Journal of empirical finance
122
The North American journal of economics and finance : a journal of financial economics studies
120
Energy economics
113
International review of economics & finance : IREF
113
Quantitative finance
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96
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85
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81
Discussion paper / Tinbergen Institute
79
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76
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73
Applied economics letters
71
Working paper
71
Journal of international financial markets, institutions & money
69
NBER Working Paper
69
Applied mathematical finance
64
Pacific-Basin finance journal
64
Economics letters
63
Journal of economic dynamics & control
61
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
61
The European journal of finance
60
Research paper series / Swiss Finance Institute
59
International journal of forecasting
58
The journal of futures markets
57
Econometric reviews
55
Computational economics
52
Mathematical finance : an international journal of mathematics, statistics and financial theory
52
The journal of computational finance
50
Journal of financial econometrics : official journal of the Society for Financial Econometrics
49
Journal of forecasting
48
Finance and stochastics
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1
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
2
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
3
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
4
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
5
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
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6
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:
7
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
8
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:
9
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
10
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
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