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subject:"Volatilität"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics"
~subject:"Correlation"
~subject:"Factor analysis"
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Volatilität
Correlation
Factor analysis
Estimation
51
Schätzung
51
Volatility
31
Capital income
23
Kapitaleinkommen
23
Time series analysis
22
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22
Estimation theory
19
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realized volatility
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Article in journal
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36
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English
36
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Hansen, Peter Reinhard
2
Sancetta, Alessio
2
Alitab, Dario
1
Andreou, Elena
1
Barigozzi, Matteo
1
Barunik, Jozef
1
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1
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1
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1
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1
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1
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1
Bu, Ruijun
1
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1
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1
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1
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1
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1
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1
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1
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1
Erdemlioglu, Deniz
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Hong, Seok Young
1
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1
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1
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1
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Journal of financial econometrics
Journal of econometrics
145
Energy economics
143
Applied economics
137
Economic modelling
136
Finance research letters
136
International review of economics & finance : IREF
123
International review of financial analysis
108
The North American journal of economics and finance : a journal of financial economics studies
108
Journal of banking & finance
101
Journal of empirical finance
94
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
91
Applied economics letters
90
Economics letters
79
Journal of international financial markets, institutions & money
78
Journal of international money and finance
78
Applied financial economics
77
Research in international business and finance
73
International journal of forecasting
69
The journal of futures markets
65
Journal of risk and financial management : JRFM
60
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
50
The European journal of finance
49
International journal of finance & economics : IJFE
48
Journal of financial economics
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
46
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
44
Journal of financial econometrics : official journal of the Society for Financial Econometrics
41
Journal of economic dynamics & control
40
International Journal of Energy Economics and Policy : IJEEP
39
Journal of applied econometrics
39
Pacific-Basin finance journal
38
Quantitative finance
38
International journal of economics and finance
37
Econometric reviews
35
International journal of economics and financial issues : IJEFI
35
Journal of forecasting
34
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
32
Empirical economics : a quarterly journal of the Institute for Advanced Studies
31
Journal of financial markets
29
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ECONIS (ZBW)
36
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
Saved in:
3
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
4
Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Tong, Chen
;
Wang, …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
Saved in:
5
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
6
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
7
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
8
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
9
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
10
Time variation in cash flows and discount rates
Cenesizoglu, Tolga
;
Ibrushi, Denada
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1557-1589
Persistent link: https://www.econbiz.de/10014444702
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