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subject:"Theorie"
~isPartOf:"CREATES research paper"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~language:"eng"
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Search: subject_exact:"Volatility"
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Theorie
Volatility
211
Volatilität
211
Theory
84
ARCH model
58
ARCH-Modell
58
Stochastic process
54
Stochastischer Prozess
54
Estimation
52
Schätzung
52
Time series analysis
49
Zeitreihenanalyse
49
Capital income
48
Kapitaleinkommen
48
Börsenkurs
45
Share price
45
Forecasting model
40
Prognoseverfahren
40
Estimation theory
31
Schätztheorie
31
Option pricing theory
20
Optionspreistheorie
20
USA
19
United States
19
Aktienmarkt
15
Correlation
15
Korrelation
15
Nichtparametrisches Verfahren
15
Nonparametric statistics
15
Risikoprämie
15
Risk premium
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Stock market
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Modellierung
12
Scientific modelling
12
Statistical distribution
11
Statistische Verteilung
11
stochastic volatility
11
Market microstructure
9
Marktmikrostruktur
9
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9
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39
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Santucci de Magistris, Paolo
6
Rossi, Eduardo
5
Barndorff-Nielsen, Ole E.
3
Bollerslev, Tim
3
Caporin, Massimiliano
3
Hounyo, Ulrich
3
Lunde, Asger
3
Todorov, Viktor
3
Veliyev, Bezirgen
3
Veraart, Almut E. D.
3
Andersen, Torben
2
Bennedsen, Mikkel
2
Christensen, Bent Jesper
2
Christensen, Kim
2
Fengler, Matthias R.
2
Garcia, René
2
Ghysels, Eric
2
Hansen, Peter Reinhard
2
Herwartz, Helmut
2
Härdle, Wolfgang
2
Koopman, Siem Jan
2
Meddahi, Nour
2
Pakkanen, Mikko S.
2
Podolskij, Mark
2
Proietti, Tommaso
2
Taamouti, Abderrahim
2
Andreasen, Martin M.
1
Andreasen, Martin Møller
1
Archakov, Ilya
1
Asai, Manabu
1
Barra, István
1
Benzoni, Luca
1
Bolko, Anine E.
1
Borowska, Agnieszka
1
Byoun, Soku
1
Calvet, Laurent E.
1
Chan, Joshua
1
Christiansen, Charlotte
1
Corcuera, José Manual
1
Dahlhaus, Rainer
1
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CREATES research paper
Journal of financial econometrics : official journal of the Society for Financial Econometrics
NBER working paper series
172
Working paper / National Bureau of Economic Research, Inc.
161
NBER Working Paper
155
Journal of econometrics
125
Journal of banking & finance
109
Economics letters
82
Journal of empirical finance
81
Discussion paper / Tinbergen Institute
79
Discussion paper / Centre for Economic Policy Research
78
Economic modelling
77
Finance research letters
77
International journal of theoretical and applied finance
76
International journal of forecasting
73
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
72
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Journal of financial economics
71
Journal of economic dynamics & control
70
Working paper
67
Journal of international money and finance
64
International review of financial analysis
60
The European journal of finance
58
Applied economics
57
The review of financial studies
57
International review of economics & finance : IREF
56
Energy economics
55
Journal of forecasting
55
Econometric reviews
51
Quantitative finance
46
Applied economics letters
45
Research paper series / Swiss Finance Institute
45
The North American journal of economics and finance : a journal of financial economics studies
45
Applied mathematical finance
44
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
The journal of finance : the journal of the American Finance Association
43
Computational economics
42
Finance and stochastics
42
Journal of monetary economics
40
The journal of futures markets
39
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ECONIS (ZBW)
84
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1
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
-
2021
Persistent link: https://www.econbiz.de/10012434010
Saved in:
2
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Saved in:
3
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
4
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
5
Efficient multipowers
Kolokolov, Aleksey
;
Renò, Roberto
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 629-659
Persistent link: https://www.econbiz.de/10011988002
Saved in:
6
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
7
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
Saved in:
8
Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson
;
Leschinski, Christian
;
Will, Michael
-
2016
Persistent link: https://www.econbiz.de/10011474820
Saved in:
9
Volatility discovery
Dias, Gustavo Fruet
;
Scherrer, Cristina Mabel
; …
-
2016
Persistent link: https://www.econbiz.de/10011447786
Saved in:
10
The geometric-VaR backtesting method
Pelletier, Denis
;
Wei, Wei
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
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