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subject:"Volatility"
subject:"Yield curve"
~accessRights:"restricted"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of financial econometrics"
~subject:"Volatilität"
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Volatility
Yield curve
Volatilität
Estimation
574
Schätzung
574
Theorie
140
Theory
140
Time series analysis
87
Zeitreihenanalyse
87
Capital income
84
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Huang, Zhuo
3
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3
Bu, Ruijun
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Cross, Jamie
2
Erdemlioglu, Deniz
2
Hansen, Peter Reinhard
2
Hou, Chenghan
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Economic modelling
Journal of financial econometrics
Finance research letters
127
Energy economics
126
International review of economics & finance : IREF
106
Applied economics
90
The North American journal of economics and finance : a journal of financial economics studies
90
International review of financial analysis
80
Journal of econometrics
74
Research in international business and finance
62
Journal of banking & finance
61
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58
Journal of international financial markets, institutions & money
54
Discussion paper / Centre for Economic Policy Research
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Journal of international money and finance
51
Economics letters
45
Working paper / National Bureau of Economic Research, Inc.
45
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44
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
International journal of forecasting
39
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36
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36
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34
International journal of finance & economics : IJFE
32
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32
Pacific-Basin finance journal
31
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29
The European journal of finance
28
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
27
Emerging markets, finance and trade : EMFT
26
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24
Management science : journal of the Institute for Operations Research and the Management Sciences
22
Review of quantitative finance and accounting
21
Econometric reviews
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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International journal of economics and finance
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ECONIS (ZBW)
116
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1
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
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2
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:
3
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:
4
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
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5
Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis
Yao, Jing
;
Yang, Yiwen
- In:
Economic modelling
129
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014472100
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6
On the role of interest rate differentials in the dynamic asymmetry of exchange rates
Hambuckers, J.
;
Ulm, M.
- In:
Economic modelling
129
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014472153
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7
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:
8
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
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9
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
Saved in:
10
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
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