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Volatility
321
Volatilität
321
Theorie
125
Theory
125
Estimation theory
116
Schätztheorie
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104
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Bollerslev, Tim
19
Todorov, Viktor
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Tauchen, George Eugene
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Andersen, Torben
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Aït-Sahalia, Yacine
11
McAleer, Michael
9
Meddahi, Nour
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Xiu, Dacheng
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Mykland, Per A.
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7
Cavaliere, Giuseppe
6
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Kim, Donggyu
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Shephard, Neil G.
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Asai, Manabu
5
Gallant, A. Ronald
5
Gouriéroux, Christian
5
Hallin, Marc
5
Li, Yingying
5
Taylor, Robert
5
Zhou, Hao
5
Barigozzi, Matteo
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Boswijk, Herman Peter
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Francq, Christian
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Maheu, John M.
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3
Calvet, Laurent E.
3
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Chang, Chia-Lin
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Christensen, Kim
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Energy economics
598
Finance research letters
492
NBER working paper series
484
Working paper / National Bureau of Economic Research, Inc.
468
NBER Working Paper
417
International review of financial analysis
398
Journal of banking & finance
374
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372
The journal of futures markets
354
International review of economics & finance : IREF
338
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337
The North American journal of economics and finance : a journal of financial economics studies
324
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265
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260
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257
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253
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250
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247
International journal of theoretical and applied finance
245
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244
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235
Journal of international money and finance
221
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199
Journal of risk and financial management : JRFM
197
Journal of financial economics
184
Quantitative finance
183
CESifo working papers
172
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
169
Pacific-Basin finance journal
165
International Journal of Energy Economics and Policy : IJEEP
157
The European journal of finance
152
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
IMF working papers
147
Journal of economic dynamics & control
145
International journal of forecasting
140
International journal of finance & economics : IJFE
136
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128
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ECONIS (ZBW)
321
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
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:
3
Time-varying unobserved heterogeneity in earnings shocks
Botosaru, Irene
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1378-1393
Persistent link: https://www.econbiz.de/10014471381
Saved in:
4
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:
5
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:
6
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:
7
Large volatility matrix analysis using global and national factor models
Choi, Sung Hoon
;
Kim, Donggyu
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1917-1933
Persistent link: https://www.econbiz.de/10014471436
Saved in:
8
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
9
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:
10
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
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