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isPartOf:"Journal of econometrics"
~subject:"Estimation theory"
~subject:"Option pricing theory"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Volatility"
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Estimation theory
Option pricing theory
Statistische Verteilung
Volatility
321
Volatilität
321
Theorie
125
Theory
125
Schätztheorie
116
Stochastic process
104
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104
Estimation
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Todorov, Viktor
13
Tauchen, George Eugene
9
Andersen, Torben
7
Bollerslev, Tim
6
Li, Jia
6
Xiu, Dacheng
6
Aït-Sahalia, Yacine
5
Kim, Donggyu
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Li, Yingying
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Francq, Christian
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Gallant, A. Ronald
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Gouriéroux, Christian
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Mykland, Per A.
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Zakoïan, Jean-Michel
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3
Meddahi, Nour
3
Park, Joon Y.
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Wang, Yazhen
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3
Zhu, Ke
3
Amengual, Dante
2
Bandi, Federico M.
2
Bondarenko, Oleg
2
Calvet, Laurent E.
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Clinet, Simon
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2
Koopman, Siem Jan
2
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2
Li, Wai Keung
2
Maheu, John M.
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Journal of econometrics
International journal of theoretical and applied finance
166
Quantitative finance
111
Journal of banking & finance
89
The journal of futures markets
77
Applied mathematical finance
74
The journal of computational finance
65
Mathematical finance : an international journal of mathematics, statistics and financial theory
62
Finance research letters
61
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
The North American journal of economics and finance : a journal of financial economics studies
53
International journal of financial engineering
50
Review of derivatives research
50
Discussion paper / Tinbergen Institute
49
Journal of mathematical finance
46
The journal of derivatives : the official publication of the International Association of Financial Engineers
46
Computational economics
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Finance and stochastics
44
European journal of operational research : EJOR
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Journal of empirical finance
43
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42
Journal of economic dynamics & control
40
Economics letters
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Journal of risk and financial management : JRFM
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Journal of financial economics
35
Research paper series / Swiss Finance Institute
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Risks : open access journal
34
The European journal of finance
33
Applied economics
32
Energy economics
32
International journal of forecasting
31
International review of economics & finance : IREF
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International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Annals of finance
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CREATES research paper
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Review of quantitative finance and accounting
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ECONIS (ZBW)
160
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1
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
Saved in:
2
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:
3
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:
4
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:
5
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
6
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
7
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
8
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
9
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
10
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
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