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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric reviews"
~isPartOf:"Review of derivatives research"
~source:"econis"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
480
Volatilität
480
Theorie
200
Theory
200
Stochastic process
172
Estimation theory
139
Schätztheorie
139
Estimation
138
Schätzung
138
Time series analysis
135
Zeitreihenanalyse
135
ARCH model
94
ARCH-Modell
94
Capital income
94
Kapitaleinkommen
94
Option pricing theory
92
Optionspreistheorie
92
Börsenkurs
83
Share price
83
Forecasting model
67
Prognoseverfahren
67
Nichtparametrisches Verfahren
51
Nonparametric statistics
51
Market microstructure
46
Marktmikrostruktur
46
Stochastic volatility
46
USA
45
United States
45
Statistical distribution
41
Statistische Verteilung
41
Bayes-Statistik
36
Bayesian inference
36
Multivariate Analyse
36
Multivariate analysis
36
Option trading
35
Optionsgeschäft
35
Derivat
33
Derivative
33
CAPM
32
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171
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English
172
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McAleer, Michael
12
Todorov, Viktor
11
Asai, Manabu
9
Tauchen, George Eugene
8
Yu, Jun
5
Bollerslev, Tim
4
Chan, Joshua
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Clark, Todd E.
3
Gouriéroux, Christian
3
Li, Jia
3
Marcellino, Massimiliano
3
Poon, Aubrey
3
Renault, Eric
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Cavaliere, Giuseppe
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Creal, Drew
2
Dufour, Jean-Marie
2
Escobar, Marcos
2
Forbes, Catherine Scipione
2
Francq, Christian
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Jasiak, Joann
2
Jensen, Mark J.
2
Kim, Donggyu
2
Kim, Young Shin
2
Kohn, Robert
2
Koopman, Siem Jan
2
Maasoumi, Esfandiar
2
Maheu, John M.
2
Martin, Gael M.
2
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Journal of econometrics
Econometric reviews
Review of derivatives research
International journal of theoretical and applied finance
135
Quantitative finance
84
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
54
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
The journal of computational finance
49
Finance and stochastics
47
Computational economics
46
Journal of economic dynamics & control
46
Journal of mathematical finance
38
European journal of operational research : EJOR
37
Working paper
36
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
Finance research letters
34
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
30
Journal of empirical finance
29
Research paper series / Swiss Finance Institute
29
The journal of futures markets
29
Energy economics
28
Risks : open access journal
28
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
CREATES research paper
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
20
Economic modelling
20
Journal of financial economics
18
NBER working paper series
18
Econometrics : open access journal
17
The European journal of finance
17
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ECONIS (ZBW)
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1
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
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
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:
4
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:
5
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:
6
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
Saved in:
7
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
8
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
9
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
Saved in:
10
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
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