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isPartOf:"Journal of econometrics"
~isPartOf:"Journal of empirical finance"
~language:"eng"
~subject:"Stochastischer Prozess"
~subject:"Theorie"
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Search: subject_exact:"Volatility"
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Stochastischer Prozess
Theorie
Volatility
586
Volatilität
585
Theory
206
Estimation
183
Schätzung
183
Capital income
174
Kapitaleinkommen
174
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159
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Todorov, Viktor
14
Tauchen, George Eugene
11
Bollerslev, Tim
10
Aït-Sahalia, Yacine
9
Andersen, Torben
8
McAleer, Michael
7
Asai, Manabu
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5
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4
Li, Jia
4
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3
Boswijk, Herman Peter
3
Carriero, Andrea
3
Cavaliere, Giuseppe
3
Chang, Chia-Lin
3
Clark, Todd E.
3
Gallant, A. Ronald
3
Hafner, Christian M.
3
Kim, Donggyu
3
Laurent, Sébastien
3
Liesenfeld, Roman
3
Maheu, John M.
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Santucci de Magistris, Paolo
3
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3
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3
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2
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2
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2
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HFDF <2, 1998, Zürich>
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Journal of econometrics
Journal of empirical finance
NBER working paper series
183
International journal of theoretical and applied finance
178
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163
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162
Journal of banking & finance
132
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125
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122
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71
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International review of financial analysis
70
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67
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66
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64
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62
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61
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59
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58
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54
European journal of operational research : EJOR
54
Journal of risk and financial management : JRFM
54
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ECONIS (ZBW)
287
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1
Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan
;
Zhang, Qian
;
Wang, Zerong
;
Wang, Qi
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
Saved in:
2
Identifying latent factors based on high-frequency data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
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
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:
6
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:
7
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:
8
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:
9
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:
10
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
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