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isPartOf:"Applied financial economics"
~isPartOf:"Journal of econometrics"
~subject:"Stochastic volatility"
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Search: subject_exact:"Volatility"
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Stochastic volatility
Volatility
586
Volatilität
586
Estimation
177
Schätzung
177
Theorie
157
Theory
157
Capital income
148
Kapitaleinkommen
148
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131
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131
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126
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126
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120
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114
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Option pricing theory
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Tauchen, George Eugene
6
Todorov, Viktor
6
McAleer, Michael
4
Andersen, Torben
3
Chang, Chia-Lin
3
Li, Jia
3
Asai, Manabu
2
Aït-Sahalia, Yacine
2
Bondarenko, Oleg
2
Carriero, Andrea
2
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2
Clark, Todd E.
2
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2
Tong, Howell
2
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1
Bognanni, Mark
1
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1
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Chen, Rui
1
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1
Christensen, Kim
1
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Diebold, Francis X.
1
Dufour, Jean-Marie
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1
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Jensen, Mark J.
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Karamann, Mustafa
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Khrapov, Stanislav
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1
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Applied financial economics
Journal of econometrics
Quantitative finance
29
Journal of economic dynamics & control
23
Finance research letters
18
International journal of theoretical and applied finance
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Energy economics
15
Journal of banking & finance
14
Economic modelling
13
Economics letters
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Insurance / Mathematics & economics
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International journal of forecasting
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The North American journal of economics and finance : a journal of financial economics studies
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Annals of finance
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Finance and stochastics
9
European journal of operational research : EJOR
8
Review of derivatives research
8
International review of financial analysis
7
Journal of financial economics
6
Asia-Pacific financial markets
5
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
International review of economics & finance : IREF
5
Journal of empirical finance
5
Journal of macroeconomics
5
Review of quantitative finance and accounting
5
Applied mathematical finance
4
Asia-Pacific journal of financial studies
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
4
Econometric reviews
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
4
Financial innovation : FIN
3
Journal of economic theory
3
Journal of international money and finance
3
Mathematics and financial economics
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Research in international business and finance
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ECONIS (ZBW)
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1
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
2
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:
3
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:
4
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
5
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
6
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
7
Consistent inference for predictive regressions in persistent economic systems
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 215-244
Persistent link: https://www.econbiz.de/10013275373
Saved in:
8
Using time-varying volatility for identification in Vector Autoregressions : an application to endogenous uncertainty
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
- In:
Journal of econometrics
225
(
2021
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10013278994
Saved in:
9
The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin
;
Khrapov, Stanislav
;
Renault, Eric
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
Saved in:
10
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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