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isPartOf:"Journal of econometrics"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~language:"eng"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Volatility
800
Volatilität
799
Theorie
278
Theory
278
Estimation
227
Schätzung
226
Capital income
206
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206
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Optionsgeschäft
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Todorov, Viktor
11
Tauchen, George Eugene
8
McAleer, Michael
5
Asai, Manabu
4
Bollerslev, Tim
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Clark, Todd E.
3
Jensen, Mark J.
3
Li, Jia
3
Marcellino, Massimiliano
3
Renò, Roberto
3
Shephard, Neil G.
3
Xiu, Dacheng
3
Yu, Jun
3
Amengual, Dante
2
Baldeaux, Jan
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Branger, Nicole
2
Chan, Joshua
2
Chang, Chia-Lin
2
Chib, Siddhartha
2
Creal, Drew
2
Dufour, Jean-Marie
2
Francq, Christian
2
Gallant, A. Ronald
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Grynkiv, Iaryna
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Kaeck, Andreas
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Kim, Donggyu
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Laurent, Sébastien
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Leippold, Markus
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Maheu, John M.
2
Nakajima, Jouchi
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Park, Joon Y.
2
Platen, Eckhard
2
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2
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Journal of econometrics
Journal of banking & finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
International journal of theoretical and applied finance
135
Quantitative finance
89
Applied mathematical finance
63
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Discussion paper / Tinbergen Institute
56
The journal of computational finance
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Computational economics
48
Finance and stochastics
47
Journal of economic dynamics & control
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Econometric reviews
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European journal of operational research : EJOR
39
Finance research letters
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International journal of financial engineering
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Journal of empirical finance
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Research paper series / Swiss Finance Institute
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Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
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CAMA working paper series
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Review of derivatives research
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Journal of risk and financial management : JRFM
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CREATES research paper
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Applied economics
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Journal of financial economics
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NBER working paper series
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ECONIS (ZBW)
162
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162
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1
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:
2
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:
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
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:
5
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:
6
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
7
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Schäfers, Torben
;
Teng, Long
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10014288879
Saved in:
8
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
9
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
10
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
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