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subject:"Volatilität"
isPartOf:"Econometric reviews"
~subject:"Kapitaleinkommen"
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Volatilität
Kapitaleinkommen
Estimation
141
Schätzung
141
Theorie
72
Theory
72
Estimation theory
54
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54
Time series analysis
41
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McAleer, Michael
4
Asai, Manabu
3
Chan, Joshua
2
Jawadi, Fredj
2
Maasoumi, Esfandiar
2
Meyer, Renate
2
Teräsvirta, Timo
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Ftiti, Zied
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Econometric reviews
Finance research letters
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Applied economics
192
International review of financial analysis
182
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181
International review of economics & finance : IREF
180
Working paper / National Bureau of Economic Research, Inc.
161
Economic modelling
160
Journal of empirical finance
158
NBER working paper series
156
Energy economics
152
The North American journal of economics and finance : a journal of financial economics studies
147
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140
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115
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108
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105
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99
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92
Economics letters
89
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89
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83
CESifo working papers
82
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74
Review of quantitative finance and accounting
73
Discussion paper / Centre for Economic Policy Research
72
International journal of finance & economics : IJFE
70
The journal of futures markets
69
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
64
International journal of economics and finance
63
Management science : journal of the Institute for Operations Research and the Management Sciences
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59
International journal of forecasting
57
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Cogent economics & finance
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
53
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1
Improved tests for stock return predictability
Harvey, David I.
;
Leybourne, Stephen James
;
Taylor, Robert
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 834-861
Persistent link: https://www.econbiz.de/10014420348
Saved in:
2
Extremal quantiles and stock price crashes
Andreou, Panayiotis C.
;
Anyfantaki, Sofia
;
Maasoumi, …
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
Saved in:
3
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
4
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
5
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
6
Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
7
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
8
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
9
Quantile aggregation and combination for stock return prediction
Jiang, Chuanliang
;
Maasoumi, Esfandiar
;
Xiao, Zhijie
- In:
Econometric reviews
39
(
2020
)
7
,
pp. 715-743
Persistent link: https://www.econbiz.de/10012262517
Saved in:
10
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
11
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
12
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
Saved in:
13
Robust block bootstrap panel predictability tests
Smeekes, Stephan
;
Westerlund, Joakim
- In:
Econometric reviews
38
(
2019
)
9
,
pp. 1089-1107
Persistent link: https://www.econbiz.de/10012181384
Saved in:
14
Stock return predictability : a factor-augmented predictive regression system with shrinkage method
Ohno, Saburo
;
Ando, Tomohiro
- In:
Econometric reviews
37
(
2018
)
1/5
,
pp. 29-60
Persistent link: https://www.econbiz.de/10012038133
Saved in:
15
Specification tests for time-varying parameter models with stochastic volatility
Chan, Joshua
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 807-823
Persistent link: https://www.econbiz.de/10012040412
Saved in:
16
On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
Saved in:
17
Robust inference for predictability in smooth transition predictive regressions
Kiliç, Rehim
- In:
Econometric reviews
37
(
2018
)
6/10
,
pp. 1067-1094
Persistent link: https://www.econbiz.de/10012040538
Saved in:
18
A fractionally integrated Wishart stochastic volatility model
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 42-59
Persistent link: https://www.econbiz.de/10011794625
Saved in:
19
Specification and testing of multiplicative time-varying GARCH models with applications
Amado, Cristina
;
Teräsvirta, Timo
- In:
Econometric reviews
36
(
2017
)
4
,
pp. 421-446
Persistent link: https://www.econbiz.de/10011795239
Saved in:
20
Bayesian analysis of multivariate stochastic volatility with skew return distribution
Nakajima, Jouchi
- In:
Econometric reviews
36
(
2017
)
5
,
pp. 546-562
Persistent link: https://www.econbiz.de/10011795262
Saved in:
21
Bond risk premia forecasting : a simple approach for extracting macroeconomic information from a panel of indicators
Audrino, Francesco
;
Corsi, Fulvio
;
Filipova, Kameliya
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 232-256
Persistent link: https://www.econbiz.de/10011549916
Saved in:
22
Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method
Alghalith, Moawia
- In:
Econometric reviews
35
(
2016
)
1/4
,
pp. 257-262
Persistent link: https://www.econbiz.de/10011549920
Saved in:
23
A general quantile function model for economic and financial time series
Cai, Yuzhi
- In:
Econometric reviews
35
(
2016
)
5/7
,
pp. 1173-1193
Persistent link: https://www.econbiz.de/10011591169
Saved in:
24
Stochastic model specification search for time-varying parameter VARs
Eisenstat, Eric
;
Chan, Joshua
;
Strachan, Rodney W.
- In:
Econometric reviews
35
(
2016
)
8/10
,
pp. 1638-1665
Persistent link: https://www.econbiz.de/10011592382
Saved in:
25
Proximity-structured multivariate volatility models
Caporin, Massimiliano
;
Paruolo, Paolo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 559-593
Persistent link: https://www.econbiz.de/10011373256
Saved in:
26
Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
- In:
Econometric reviews
34
(
2015
)
1/5
,
pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
Saved in:
27
Alternative asymmetric stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
30
(
2011
)
5
,
pp. 548-564
Persistent link: https://www.econbiz.de/10009130226
Saved in:
28
Factor multivariate stochastic volatility via Wishart processes
Philipov, Alexander
;
Glickman, Mark E.
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 311-334
Persistent link: https://www.econbiz.de/10003355767
Saved in:
29
Multivariate stochastic volatility models : Bayesian estimation and model comparison
Yu, Jun
;
Meyer, Renate
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 361-384
Persistent link: https://www.econbiz.de/10003355796
Saved in:
30
Monte Carlo likelihood estimation for three multivariate stochastic volatility models
Jungbacker, Borus
;
Meyer, Renate
;
Koopman, Siem Jan
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 385-408
Persistent link: https://www.econbiz.de/10003355799
Saved in:
31
Asymmetric multivariate stochastic volatility
Asai, Manabu
;
McAleer, Michael
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 453-473
Persistent link: https://www.econbiz.de/10003355815
Saved in:
32
On regression-based tests for persistence in logarithmic volatility models
Psaradakis, Zacharias G.
;
Tzavalis, Elias
- In:
Econometric reviews
18
(
1999
)
4
,
pp. 441-448
Persistent link: https://www.econbiz.de/10001413477
Saved in:
33
Bayesian analysis of stochastic volatility models with flexible tails
Steel, Mark F. J.
- In:
Econometric reviews
17
(
1998
)
2
,
pp. 109-143
Persistent link: https://www.econbiz.de/10001240681
Saved in:
34
Modeling asset returns with alternative stable distributions
Mittnik, Stefan
- In:
Econometric reviews
12
(
1993
)
3
,
pp. 261-330
Persistent link: https://www.econbiz.de/10001156115
Saved in:
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