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isPartOf:"Journal of econometrics"
~isPartOf:"Energy economics"
~language:"eng"
~subject:"Stochastischer Prozess"
~subject:"USA"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
USA
Volatility
919
Volatilität
919
Oil price
363
Ölpreis
363
ARCH model
278
ARCH-Modell
278
Estimation
244
Schätzung
244
Welt
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209
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190
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190
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167
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167
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156
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156
Commodity derivative
146
Rohstoffderivat
146
Stochastic process
132
Estimation theory
120
Schätztheorie
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114
Oil market
113
Aktienmarkt
112
Ölmarkt
112
Spillover effect
106
Spillover-Effekt
106
Erdöl
78
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78
Risk
70
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68
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68
China
59
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Todorov, Viktor
11
Tauchen, George Eugene
8
Bollerslev, Tim
6
McAleer, Michael
6
Andersen, Torben
4
Asai, Manabu
4
Aït-Sahalia, Yacine
3
Baum, Christopher F.
3
Carriero, Andrea
3
Chan, Joshua
3
Clark, Todd E.
3
Engle, Robert F.
3
Ghysels, Eric
3
Li, Jia
3
Ma, Feng
3
Marcellino, Massimiliano
3
Sadorsky, Perry A.
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Yu, Jun
3
Zerilli, Paola
3
Zhou, Hao
3
Albulescu, Claudiu Tiberiu
2
Amengual, Dante
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Chang, Chia-Lin
2
Chen, Liyuan
2
Chib, Siddhartha
2
Creal, Drew
2
Cross, Jamie
2
Dufour, Jean-Marie
2
Francq, Christian
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
Gupta, Rangan
2
Ignatieva, Ekaterina
2
Jensen, Mark J.
2
Kim, Donggyu
2
Linton, Oliver
2
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Journal of econometrics
Energy economics
Working paper / National Bureau of Economic Research, Inc.
179
The journal of futures markets
149
International journal of theoretical and applied finance
142
Journal of banking & finance
92
Quantitative finance
86
The review of financial studies
84
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
78
Discussion paper / Tinbergen Institute
71
Discussion paper / Centre for Economic Policy Research
69
The North American journal of economics and finance : a journal of financial economics studies
68
Working paper
68
Journal of empirical finance
67
Applied financial economics
62
Applied mathematical finance
61
Finance research letters
61
The journal of finance : the journal of the American Finance Association
61
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
54
Econometric reviews
53
Mathematical finance : an international journal of mathematics, statistics and financial theory
53
The journal of computational finance
53
Applied economics
51
Economics letters
51
Journal of economic dynamics & control
51
Journal of financial and quantitative analysis : JFQA
49
Computational economics
48
Journal of financial economics
48
Economic modelling
47
Finance and stochastics
47
International review of financial analysis
45
Journal of financial econometrics : official journal of the Society for Financial Econometrics
43
International review of economics & finance : IREF
41
Research paper series / Swiss Finance Institute
40
Journal of risk and financial management : JRFM
39
NBER working paper series
39
European journal of operational research : EJOR
38
Journal of mathematical finance
38
Insurance / Mathematics & economics
35
International journal of financial engineering
35
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ECONIS (ZBW)
197
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1
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:
2
Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang
;
Virbickaitė, Audronė
- In:
Energy economics
124
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014480067
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
A weekly structural VAR model of the US crude oil market
Valenti, Daniele
;
Bastianin, Andrea
;
Manera, Matteo
- In:
Energy economics
121
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014438651
Saved in:
6
COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
Naeem, Muhammad Abubakr
;
Sitara Karim
;
Yarovaya, Larisa
; …
- In:
Energy economics
122
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014440746
Saved in:
7
On the volatility of WTI crude oil prices : a time-varying approach with stochastic volatility
Thai-Ha Le
;
Boubaker, Sabri
;
Manh Tien Bui
;
Park, Donghyun
- In:
Energy economics
117
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014436424
Saved in:
8
Oil news shocks and the U.S. stock market
AlSalman, Zeina
;
Herrera, Ana María
;
Rangaraju, …
- In:
Energy economics
126
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014483387
Saved in:
9
Impact of energy-related discussions on post-filing volatility and returns in the U.S.
Pathak, Jalaj
;
Hammoudeh, Shawkat
- In:
Energy economics
125
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014484445
Saved in:
10
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
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