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subject:"Volatility"
subject:"Yield curve"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~subject:"Faktorenanalyse"
~subject:"Volatilität"
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Volatility
Yield curve
Faktorenanalyse
Volatilität
Estimation
46
Schätzung
46
Capital income
22
Kapitaleinkommen
22
Time series analysis
22
Zeitreihenanalyse
22
Theorie
17
Theory
17
Börsenkurs
15
Estimation theory
15
Schätztheorie
15
Share price
15
ARCH model
14
ARCH-Modell
14
Forecasting model
11
Prognoseverfahren
11
Risikomaß
8
Risk measure
8
Stochastic process
8
Stochastischer Prozess
8
Correlation
7
Korrelation
7
Portfolio selection
6
Portfolio-Management
6
Risikoprämie
6
Risk premium
6
Analysis of variance
5
CAPM
5
Varianzanalyse
5
realized volatility
5
Aktienmarkt
4
Factor analysis
4
Stock market
4
high-frequency data
4
value-at-risk
4
Autocorrelation
3
Autokorrelation
3
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Article
32
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32
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32
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English
32
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Hansen, Peter Reinhard
2
Alitab, Dario
1
Andreou, Elena
1
Barigozzi, Matteo
1
Barunik, Jozef
1
Baur, Dirk G.
1
Bee, Marco
1
Bekierman, Jeremias
1
Berardi, Andrea
1
Bollerslev, Tim
1
Bormetti, Giacomo
1
Bu, Ruijun
1
Buccheri, Giuseppe
1
Calzolari, Giorgio
1
Cenesizoglu, Tolga
1
Chen, Qiang
1
Chorro, Christophe
1
Corsi, Fulvio
1
Dimpfl, Thomas
1
Dupuis, Debbie J.
1
Erdemlioglu, Deniz
1
Francq, Christian
1
Gagliardini, Patrick
1
Ghysels, Eric
1
Golinski, Adam
1
Gong, Yuting
1
Gorgi, P.
1
Grassi, Stefano
1
Gribisch, Bastian
1
Grønneberg, Steffen
1
Halbleib, Roxana
1
Hallin, Marc
1
Hansen, Anne Lundgaard
1
Hassler, Uwe
1
Hong, Seok Young
1
Huang, Zhuo
1
Hung, Mao-Wei
1
Ibrushi, Denada
1
Inoue, Atsushi
1
Janus, Paweł
1
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Journal of financial econometrics
Finance research letters
133
Energy economics
126
International review of economics & finance : IREF
107
Journal of econometrics
96
Applied economics
94
The North American journal of economics and finance : a journal of financial economics studies
94
Economic modelling
92
International review of financial analysis
80
Journal of banking & finance
63
Research in international business and finance
63
Discussion paper / Centre for Economic Policy Research
60
Journal of empirical finance
60
Journal of international financial markets, institutions & money
57
Economics letters
54
Journal of international money and finance
54
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
53
International journal of forecasting
52
Working paper / National Bureau of Economic Research, Inc.
51
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Applied economics letters
45
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
Journal of financial economics
42
Discussion papers / CEPR
41
Journal of economic dynamics & control
35
International journal of finance & economics : IJFE
32
Pacific-Basin finance journal
32
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
30
Quantitative finance
29
The European journal of finance
29
Emerging markets, finance and trade : EMFT
28
Journal of financial markets
24
Management science : journal of the Institute for Operations Research and the Management Sciences
23
Empirical economics : a quarterly journal of the Institute for Advanced Studies
22
Review of quantitative finance and accounting
22
Econometric reviews
21
International journal of economics and finance
21
Journal of applied econometrics
19
Global finance journal
17
Journal of forecasting
17
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ECONIS (ZBW)
32
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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
Saved in:
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
Saved in:
5
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:
6
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:
7
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:
8
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
Saved in:
9
A joint model for the term structure of interest rates and realized volatility
Hansen, Anne Lundgaard
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1196-1227
Persistent link: https://www.econbiz.de/10014391449
Saved in:
10
Time-transformed test for bubbles under non-stationary volatility
Kurozumi, Eiji
;
Skrobotov, Anton
;
Tsarev, Alexey
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1282-1307
Persistent link: https://www.econbiz.de/10014391459
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