//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
subject:"Volatility"
isPartOf:"Journal of applied econometrics"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Estimation"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Volatility
Estimation
434
Schätzung
434
Theorie
181
Theory
181
USA
102
United States
102
Volatilität
58
Estimation theory
53
Forecasting model
53
Prognoseverfahren
53
Schätztheorie
53
Time series analysis
52
Zeitreihenanalyse
52
Welt
42
World
42
Börsenkurs
37
Capital income
37
Kapitaleinkommen
37
Share price
37
Panel
31
Panel study
31
ARCH model
28
ARCH-Modell
28
Regression analysis
28
Regressionsanalyse
28
Bayes-Statistik
25
Bayesian inference
25
Nichtparametrisches Verfahren
25
Nonparametric statistics
25
Deutschland
24
Germany
24
Monte Carlo simulation
24
Monte-Carlo-Simulation
24
VAR model
24
VAR-Modell
24
Großbritannien
23
United Kingdom
23
Stochastic process
22
Stochastischer Prozess
22
more ...
less ...
Online availability
All
Undetermined
19
Type of publication
All
Article
57
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
58
Aufsatz in Zeitschrift
58
Collection of articles of several authors
1
Sammelwerk
1
Language
All
English
58
Author
All
Dijk, Dick van
2
Garcia, René
2
Ghysels, Eric
2
Hansen, Peter Reinhard
2
Okou, Cédric
2
Rodrigues, Paulo M. M.
2
Watanabe, Toshiaki
2
Ahoniemi, Katja
1
Andersen, Torben
1
Asai, Manabu
1
Badescu, Alexandru
1
Balter, Janine
1
Bannouh, Karim
1
Barndorff-Nielsen, Ole E.
1
Barunik, Jozef
1
Baum, Christopher F.
1
Beck, Günter W.
1
Bocart, Fabian Y. R.
1
Bollerslev, Tim
1
Bos, Charles S.
1
Caglayan, Mustafa
1
Caldeira, João F.
1
Caporin, Massimiliano
1
Chortareas, Georgios E.
1
Clark, Todd E.
1
Cui, Zhenyu
1
Dahlhaus, Rainer
1
Delle Chiaie, Simona
1
Dufour, Jean-Marie
1
Eisenstat, Eric
1
Ferrara, Laurent
1
Feunou, Bruno
1
Fong, Wai-mun
1
Forbes, Catherine Scipione
1
Fornari, Fabio
1
Francq, Christian
1
Frederiksen, Per
1
Fuertes, Ana María
1
Gagliardini, Patrick
1
Garratt, Anthony
1
more ...
less ...
Published in...
All
Journal of applied econometrics
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
142
Applied economics
125
Economic modelling
116
Finance research letters
115
International review of economics & finance : IREF
110
International review of financial analysis
102
Journal of econometrics
102
The North American journal of economics and finance : a journal of financial economics studies
96
Journal of banking & finance
83
Journal of empirical finance
81
Working paper / National Bureau of Economic Research, Inc.
81
NBER working paper series
77
Applied economics letters
75
Applied financial economics
75
Working paper
74
NBER Working Paper
71
Journal of international financial markets, institutions & money
68
Journal of international money and finance
68
Research in international business and finance
68
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
61
The journal of futures markets
60
Discussion paper / Tinbergen Institute
57
Economics letters
57
Journal of risk and financial management : JRFM
54
CESifo working papers
53
Discussion paper / Centre for Economic Policy Research
49
International journal of forecasting
46
The European journal of finance
46
International journal of finance & economics : IJFE
44
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
43
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
42
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
39
Journal of financial economics
37
International Journal of Energy Economics and Policy : IJEEP
36
Quantitative finance
34
Pacific-Basin finance journal
33
International journal of economics and finance
32
International journal of economics and financial issues : IJEFI
30
Journal of economic dynamics & control
30
more ...
less ...
Source
All
ECONIS (ZBW)
58
Showing
1
-
50
of
58
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance
Liao, Wenting
;
Ma, Jun
;
Zhang, Chengsi
- In:
Journal of applied econometrics
38
(
2023
)
7
,
pp. 989-1006
Persistent link: https://www.econbiz.de/10014474382
Saved in:
2
Oil prices in the real economy
Shu, Haicheng
;
Spencer, Peter D.
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 878-897
Persistent link: https://www.econbiz.de/10014432198
Saved in:
3
Information gains from using short-dated options for measuring and forecasting volatility
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 368-391
Persistent link: https://www.econbiz.de/10013165240
Saved in:
4
Commodity prices and inflation risk
Garratt, Anthony
;
Petrella, Ivan
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 392-414
Persistent link: https://www.econbiz.de/10013165243
Saved in:
5
Common factors of commodity prices
Delle Chiaie, Simona
;
Ferrara, Laurent
;
Giannone, Domenico
- In:
Journal of applied econometrics
37
(
2022
)
3
,
pp. 461-476
Persistent link: https://www.econbiz.de/10013186690
Saved in:
6
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
7
Downside variance risk premium
Feunou, Bruno
;
Jahan-Parvar, Mohammad R.
;
Okou, Cédric
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 341-383
Persistent link: https://www.econbiz.de/10011987780
Saved in:
8
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
9
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
10
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
11
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
12
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
13
Combining density forecasts using focused scoring rules
Opschoor, Anne
;
Dijk, Dick van
;
Wel, Michel van der
- In:
Journal of applied econometrics
32
(
2017
)
7
,
pp. 1298-1313
Persistent link: https://www.econbiz.de/10011862725
Saved in:
14
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
15
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
16
The geometric-VaR backtesting method
Pelletier, Denis
;
Wei, Wei
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
Saved in:
17
Modelling inflation volatility
Eisenstat, Eric
;
Strachan, Rodney W.
- In:
Journal of applied econometrics
31
(
2016
)
5
,
pp. 805-820
Persistent link: https://www.econbiz.de/10011645234
Saved in:
18
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
Saved in:
19
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
20
On the importance of sectoral and regional shocks for price-setting
Beck, Günter W.
;
Hubrich, Kirstin
;
Marcellino, Massimiliano
- In:
Journal of applied econometrics
31
(
2016
)
7
,
pp. 1234-1253
Persistent link: https://www.econbiz.de/10011687460
Saved in:
21
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
22
Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
- In:
Journal of applied econometrics
30
(
2015
)
4
,
pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
Saved in:
23
Quarticity estimation on ohlc data
Balter, Janine
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 505-519
Persistent link: https://www.econbiz.de/10011339287
Saved in:
24
Functional dynamic factor model for intraday price curves
Kokoszka, Piotr
;
Miao, Hong
;
Zhang, Xi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 456-477
Persistent link: https://www.econbiz.de/10011339294
Saved in:
25
Volatility of price indices for heterogeneous goods with applications to the fine art market
Bocart, Fabian Y. R.
;
Hafner, Christian M.
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 291-312
Persistent link: https://www.econbiz.de/10011327602
Saved in:
26
DSGE models in the frequency domain
Sala, Luca
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 219-240
Persistent link: https://www.econbiz.de/10011327619
Saved in:
27
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
Saved in:
28
Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric
;
Okou, Cédric
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
Saved in:
29
Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar
;
Schneider, Paul
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 479-506
Persistent link: https://www.econbiz.de/10010391949
Saved in:
30
The economic value of volatility forecasts : a conditional approach
Taylor, Nicholas
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 433-478
Persistent link: https://www.econbiz.de/10010391951
Saved in:
31
Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer
;
Neddermeyer, Jan Christoph
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
Saved in:
32
Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi
;
Nelson, Charles R.
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
2
,
pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
Saved in:
33
Volatility threshold dynamic conditional correlations : an international analysis
Kasch-Haroutounian, Maria
;
Caporin, Massimiliano
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
4
,
pp. 706-742
Persistent link: https://www.econbiz.de/10010233862
Saved in:
34
How puzzling is the PPP puzzle? : an alternative half-life measure of convergence to PPP
Chortareas, Georgios E.
;
Kapetanios, George
- In:
Journal of applied econometrics
28
(
2013
)
3
,
pp. 435-457
Persistent link: https://www.econbiz.de/10009756501
Saved in:
35
Stochastic volatility of volatility and variance risk premia
Barndorff-Nielsen, Ole E.
;
Veraart, Almut E. D.
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
1
,
pp. 1-46
Persistent link: https://www.econbiz.de/10009708931
Saved in:
36
GARCH option pricing models, the CBOE VIX, and variance risk premium
Hao, Jinji
;
Zhang, Jin E.
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
3
,
pp. 556-580
Persistent link: https://www.econbiz.de/10009786515
Saved in:
37
Asymmetry and long memory in volatility modeling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
Saved in:
38
Modelling heterogeneity and dynamics in the volatility of individual wages
Hospido, Laura
- In:
Journal of applied econometrics
27
(
2012
)
3
,
pp. 386-414
Persistent link: https://www.econbiz.de/10009618608
Saved in:
39
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
40
Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Shek, Howard Howan
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 877-906
Persistent link: https://www.econbiz.de/10010219741
Saved in:
41
Measuring high-frequency causality between returns, realized volatility, and implied volatility
Dufour, Jean-Marie
;
Garcia, René
;
Taamouti, Abderrahim
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
1
,
pp. 124-163
Persistent link: https://www.econbiz.de/10009519709
Saved in:
42
GARCH parameter estimation using high-frequency data
Visser, Marcel P.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 162-197
Persistent link: https://www.econbiz.de/10009125144
Saved in:
43
Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben
;
Bollerslev, Tim
;
Frederiksen, Per
; …
- In:
Journal of applied econometrics
25
(
2010
)
2
,
pp. 233-261
Persistent link: https://www.econbiz.de/10008667607
Saved in:
44
Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto
;
Veredas, David
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
1
,
pp. 57-87
Persistent link: https://www.econbiz.de/10003997330
Saved in:
45
The impact of shocks on higher moments
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
2
,
pp. 77-105
Persistent link: https://www.econbiz.de/10003826483
Saved in:
46
Forecasting realized volatility : a Bayesian model-averaging approach
Liu, Chun
;
Maheu, John M.
- In:
Journal of applied econometrics
24
(
2009
)
5
,
pp. 709-733
Persistent link: https://www.econbiz.de/10003931571
Saved in:
47
Range-based covariance estimation using high-frequency data : the realized co-range
Bannouh, Karim
;
Dijk, Dick van
;
Martens, Martin
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 341-372
Persistent link: https://www.econbiz.de/10003907520
Saved in:
48
Special issue on "Multivariate volatility models"
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
-
2009
Persistent link: https://www.econbiz.de/10003907531
Saved in:
49
Structural breaks and GARCH models of exchange rate volatility
Rapach, David E.
;
Strauss, Jack
- In:
Journal of applied econometrics
23
(
2008
)
1
,
pp. 65-90
Persistent link: https://www.econbiz.de/10003682842
Saved in:
50
A mixture mutliplicative error model for realized volatility
Lanne, Markku
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 594-616
Persistent link: https://www.econbiz.de/10003565744
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->