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isPartOf:"Journal of money, credit and banking : JMCB"
~isPartOf:"Journal of econometrics"
~subject:"Volatility"
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Volatility
Estimation
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Todorov, Viktor
13
Bollerslev, Tim
8
Tauchen, George Eugene
8
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6
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Journal of money, credit and banking : JMCB
Journal of econometrics
Energy economics
186
Finance research letters
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Applied economics
161
Economic modelling
156
International review of economics & finance : IREF
152
International review of financial analysis
151
The North American journal of economics and finance : a journal of financial economics studies
133
NBER working paper series
132
Working paper / National Bureau of Economic Research, Inc.
128
Journal of banking & finance
121
Journal of international money and finance
118
Research in international business and finance
118
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92
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76
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75
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75
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70
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67
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
67
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
International journal of finance & economics : IJFE
64
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
57
Pacific-Basin finance journal
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54
IMF working papers
50
International journal of forecasting
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International Journal of Energy Economics and Policy : IJEEP
45
Global finance journal
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International journal of economics and finance
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ECONIS (ZBW)
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41
A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong
- In:
Journal of econometrics
72
(
1996
)
1
,
pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
Saved in:
42
Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes
Liu, Lily Y.
;
Patton, Andrew J.
;
Sheppard, Kevin
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 293-311
Persistent link: https://www.econbiz.de/10011499439
Saved in:
43
Nonparametric specification tests for stochastic volatility models based on volatility density
Zu, Yang
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 323-344
Persistent link: https://www.econbiz.de/10011499459
Saved in:
44
Market-based
estimation
of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
Saved in:
45
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
Saved in:
46
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
Saved in:
47
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
48
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
49
What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.
;
Fearnley, Marcus
;
Fisher, Adlai
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
Saved in:
50
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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