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isPartOf:"Journal of econometrics"
~accessRights:"restricted"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Share price"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Volatility"
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Share price
Zeitreihenanalyse
Volatility
306
Volatilität
306
Estimation
104
Schätzung
104
Theorie
91
Theory
91
Börsenkurs
85
Time series analysis
80
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Li, Jia
6
Todorov, Viktor
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Bollerslev, Tim
5
Kim, Donggyu
5
Li, Yingying
5
Tauchen, George Eugene
5
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4
Aït-Sahalia, Yacine
4
Hallin, Marc
4
McAleer, Michael
4
Patton, Andrew J.
4
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3
Bloom, Nicholas
3
Christensen, Kim
3
Kong, Xin-Bing
3
Taylor, Robert
3
Wang, Yazhen
3
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2
Baker, Scott
2
Boswijk, Herman Peter
2
Carlin, Bruce Ian
2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
Mykland, Per A.
2
Nieuwerburgh, Stijn van
2
Petrova, Katerina
2
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2
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2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
Finance research letters
210
Energy economics
135
The North American journal of economics and finance : a journal of financial economics studies
123
International review of financial analysis
115
International review of economics & finance : IREF
107
Applied economics
95
Economic modelling
90
Research in international business and finance
85
Journal of banking & finance
71
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66
International journal of forecasting
60
Applied economics letters
54
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53
Pacific-Basin finance journal
51
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Discussion paper / Centre for Economic Policy Research
44
Economics letters
41
Journal of financial economics
41
Journal of financial econometrics
40
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40
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38
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
37
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31
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30
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30
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27
International journal of finance & economics : IJFE
26
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25
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24
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22
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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20
Journal of economic dynamics & control
19
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
18
Journal of financial and quantitative analysis : JFQA
18
Journal of international money and finance
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ECONIS (ZBW)
138
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
7
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:
8
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
9
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
10
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
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