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isPartOf:"Journal of econometrics"
~subject:"Share price"
~subject:"Zeitreihenanalyse"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Volatility"
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Share price
Zeitreihenanalyse
Volatility
320
Volatilität
320
Theorie
124
Theory
124
Estimation theory
116
Schätztheorie
116
Stochastic process
104
Stochastischer Prozess
104
Estimation
102
Schätzung
102
Time series analysis
100
Capital income
70
Kapitaleinkommen
70
Börsenkurs
67
ARCH model
66
ARCH-Modell
66
Forecasting model
49
Prognoseverfahren
49
Market microstructure
41
Marktmikrostruktur
41
Nichtparametrisches Verfahren
40
Nonparametric statistics
40
Option pricing theory
39
Optionspreistheorie
39
Statistical distribution
34
Statistische Verteilung
34
Stochastic volatility
34
Noise Trading
26
Noise trading
26
High-frequency data
25
CAPM
24
USA
24
United States
24
Bayes-Statistik
23
Bayesian inference
23
Bootstrap approach
18
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18
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135
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Aufsatz in Zeitschrift
Article in journal
135
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English
135
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Tauchen, George Eugene
9
Todorov, Viktor
9
Bollerslev, Tim
6
Li, Jia
6
Andersen, Torben
5
Kim, Donggyu
5
Li, Yingying
5
McAleer, Michael
5
Patton, Andrew J.
5
Hallin, Marc
4
Aït-Sahalia, Yacine
3
Barigozzi, Matteo
3
Boswijk, Herman Peter
3
Christensen, Kim
3
Fan, Jianqing
3
Francq, Christian
3
Kong, Xin-Bing
3
Mykland, Per A.
3
Taylor, Robert
3
Wang, Yazhen
3
Xiu, Dacheng
3
Zakoïan, Jean-Michel
3
Asai, Manabu
2
Bibinger, Markus
2
Cavaliere, Giuseppe
2
Chan, Joshua
2
Chang, Chia-Lin
2
Clinet, Simon
2
Ergemen, Yunus Emre
2
Gallant, A. Ronald
2
Ghysels, Eric
2
Grynkiv, Iaryna
2
Hounyo, Ulrich
2
Laeven, Roger J. A.
2
Li, Guodong
2
Li, Wai Keung
2
Liesenfeld, Roman
2
Liu, Zhi
2
Meddahi, Nour
2
Medeiros, Marcelo C.
2
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Journal of econometrics
Finance research letters
220
Energy economics
180
International review of financial analysis
152
The North American journal of economics and finance : a journal of financial economics studies
140
Economic modelling
134
International review of economics & finance : IREF
133
Journal of banking & finance
122
Applied economics
121
Journal of empirical finance
114
Research in international business and finance
102
Applied economics letters
97
Journal of international financial markets, institutions & money
87
Journal of financial economics
81
Journal of risk and financial management : JRFM
81
Applied financial economics
75
International journal of forecasting
74
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
74
The journal of futures markets
73
Pacific-Basin finance journal
71
Economics letters
69
International Journal of Energy Economics and Policy : IJEEP
68
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
64
Journal of forecasting
58
The European journal of finance
52
Cogent economics & finance
48
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
46
Finance India : the quarterly journal of Indian Institute of Finance
46
Quantitative finance
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
46
International journal of finance & economics : IJFE
44
Journal of financial econometrics : official journal of the Society for Financial Econometrics
43
Econometric reviews
42
Journal of financial markets
42
The journal of finance : the journal of the American Finance Association
42
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
41
Journal of financial econometrics
41
International journal of economics and financial issues : IJEFI
40
Review of quantitative finance and accounting
40
Journal of financial and quantitative analysis : JFQA
39
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ECONIS (ZBW)
135
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135
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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
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:
3
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:
4
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:
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
Saved in:
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
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
9
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:
10
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
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