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isPartOf:"Journal of econometrics"
~isPartOf:"Applied financial economics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~subject:"Prognoseverfahren"
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Prognoseverfahren
Volatilität
1,053
Volatility
1,052
Theorie
318
Theory
318
Estimation
258
Schätzung
258
USA
247
United States
247
Börsenkurs
246
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246
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212
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212
ARCH model
134
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134
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130
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130
Estimation theory
126
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126
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123
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123
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114
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114
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92
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91
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74
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73
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69
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64
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60
Optionspreistheorie
60
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53
Risk premium
53
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46
Shock
46
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45
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English
92
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Bollerslev, Tim
8
Andersen, Torben
6
Diebold, Francis X.
5
Patton, Andrew J.
5
Ghysels, Eric
4
Christoffersen, Peter F.
3
Engle, Robert F.
3
Hallin, Marc
3
Kim, Donggyu
3
McMillan, David G.
3
Zhou, Hao
3
Asai, Manabu
2
Barigozzi, Matteo
2
Bekaert, Geert
2
Degiannakis, Stavros
2
Fan, Jianqing
2
Gallo, Giampiero M.
2
Hoerova, Marie
2
Quaedvlieg, Rogier
2
Reeves, Jonathan J.
2
Santa-Clara, Pedro
2
Valkanov, Rossen I.
2
Xie, Xuan
2
Akgül, Işıl
1
Andreou, Elena
1
Antonakakis, Nikolaos
1
Ap Gwilym, Owain
1
Aït-Sahalia, Yacine
1
Bansal, Ravi
1
Bauer, Gregory H.
1
Bianchi, Francesco
1
Blair, Bevan J.
1
Brugal, Iván
1
Busch, Thomas
1
Bühlmann, Peter
1
Calvet, Laurent E.
1
Campa, José Manuel
1
Carriero, Andrea
1
Chan, Joshua C. C.
1
Chang, P. H. Kevin
1
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Journal of econometrics
Applied financial economics
Working paper / National Bureau of Economic Research, Inc.
International journal of forecasting
118
Journal of forecasting
114
Energy economics
107
Finance research letters
92
International review of financial analysis
67
Economic modelling
57
International review of economics & finance : IREF
54
The North American journal of economics and finance : a journal of financial economics studies
54
Journal of empirical finance
52
Applied economics
50
Journal of banking & finance
48
Applied economics letters
33
The journal of futures markets
33
Department of Economics working paper series
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
Working paper
30
Discussion paper / Tinbergen Institute
29
Quantitative finance
29
The European journal of finance
28
Journal of international financial markets, institutions & money
25
International journal of finance & economics : IJFE
24
Journal of financial econometrics
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Journal of risk and financial management : JRFM
23
Economics letters
22
Pacific-Basin finance journal
22
Journal of financial economics
21
Journal of applied econometrics
19
Research in international business and finance
19
CREATES research paper
17
Risks : open access journal
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Computational economics
16
Emerging markets, finance and trade : EMFT
16
Finance and economics discussion series
16
NBER working paper series
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CAMA working paper series
15
Econometric reviews
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ECONIS (ZBW)
92
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1
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:
2
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:
3
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:
4
A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
Saved in:
5
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
6
Testing for parameter instability and structural change in persistent predictive regressions
Andersen, Torben
;
Varneskov, Rasmus Tangsgaard
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 361-386
Persistent link: https://www.econbiz.de/10013464808
Saved in:
7
Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena
;
Ghysels, Eric
- In:
Journal of econometrics
220
(
2021
)
2
,
pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
Saved in:
8
Volatility analysis with realized GARCH-Itô models
Song, Xinyu
;
Kim, Donggyu
;
Yuan, Huiling
;
Cui, Xiangyu
; …
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 393-410
Persistent link: https://www.econbiz.de/10012619433
Saved in:
9
New testing approaches for mean-variance predictability
Fiorentini, Gabriele
;
Sentana, Enrique
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
Saved in:
10
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
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